Trend-Following Backtester · Guide · backtest 한국어
equity · US
Flowers Foods, Inc. backtest
10 trend-following strategies were compared on the full daily history of Flowers Foods, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.8%, MDD -57.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -76.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.0%, MDD -4.8%, Sharpe 0.43, 0% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.8%, MDD -57.2%, exposure 84%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.2%p lower than buy and hold, while drawdown improves by 71.9%p (CAGR 7.8%, MDD -57.2%, exposure 84%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.5 |
1.0% | -4.8% | 0.43 | 0.20 | 1.6x | 2 | 0% |
| ROC 모멘텀 n=194, threshold=-0.11 |
7.8% | -57.2% | 0.42 | 0.14 | 32.6x | 168 | 84% |
| Donchian 채널 돌파 entryN=16, exitN=51 |
6.9% | -68.3% | 0.39 | 0.10 | 21.8x | 155 | 77% |
| SMA 크로스오버 fast=56, slow=158 |
6.2% | -59.2% | 0.38 | 0.10 | 15.9x | 84 | 59% |
| EMA 크로스오버 fast=54, slow=210 |
5.3% | -59.6% | 0.34 | 0.09 | 11.2x | 66 | 68% |
| Supertrend period=8, mult=4 |
3.3% | -59.9% | 0.26 | 0.05 | 4.5x | 192 | 56% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=20, mult=2.5 |
1.6% | -64.9% | 0.18 | 0.02 | 2.1x | 190 | 38% |
| ADX / DI 방향성 period=32, threshold=38 |
0.5% | -16.9% | 0.16 | 0.03 | 1.3x | 6 | 1% |
| MACD fast=38, slow=72, signal=48 |
-0.2% | -82.2% | 0.09 | -0.00 | 0.9x | 257 | 51% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-0.3% | -89.6% | 0.09 | -0.00 | 0.9x | 286 | 57% |
| Buy and hold | 10.1% | -76.7% | 0.47 | 0.13 | 88.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 14-day middle average