Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hormel Foods Corporation backtest
10 trend-following strategies were compared on the full daily history of Hormel Foods Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -64.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.1%, MDD -64.0%, Sharpe 0.50, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.13 |
10.1% | -64.0% | 0.50 | 0.16 | 85.2x | 7 | 100% |
| Donchian 채널 돌파 entryN=13, exitN=66 |
8.4% | -66.4% | 0.47 | 0.13 | 41.3x | 125 | 85% |
| SMA 크로스오버 fast=50, slow=430 |
7.5% | -43.4% | 0.45 | 0.17 | 28.5x | 34 | 71% |
| EMA 크로스오버 fast=52, slow=194 |
5.2% | -45.8% | 0.35 | 0.11 | 10.4x | 63 | 68% |
| Supertrend period=10, mult=3.4 |
3.1% | -47.3% | 0.26 | 0.07 | 4.2x | 284 | 59% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.4% | -60.6% | 0.22 | 0.04 | 3.0x | 360 | 55% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=23, mult=3.5 |
1.4% | -32.2% | 0.21 | 0.04 | 1.9x | 106 | 11% |
| MACD fast=23, slow=55, signal=21 |
1.1% | -87.9% | 0.15 | 0.01 | 1.6x | 449 | 52% |
| 볼린저 밴드 돌파 n=43, k=2.7 |
0.7% | -55.6% | 0.12 | 0.01 | 1.4x | 151 | 23% |
| ADX / DI 방향성 period=34, threshold=37 |
0.2% | -13.2% | 0.10 | 0.01 | 1.1x | 4 | 1% |
| Buy and hold | 10.3% | -64.0% | 0.51 | 0.16 | 95.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 2-day return is greater than -13%
- Sell — Sell when the 2-day return drops to -13% or below