Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Kraft Heinz Company backtest
10 trend-following strategies were compared on the full daily history of The Kraft Heinz Company. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -3.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.0%, drawdown -79.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -3.6%, Sharpe 0.40, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.1%, MDD -19.1%, exposure 18%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 75.7%p (CAGR 1.1%, MDD -3.6%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=30 |
1.1% | -3.6% | 0.40 | 0.31 | 1.1x | 4 | 2% |
| Donchian 채널 돌파 entryN=89, exitN=23 |
2.1% | -19.1% | 0.25 | 0.11 | 1.3x | 15 | 18% |
| ROC 모멘텀 n=4, threshold=0.1 |
0.1% | -10.3% | 0.05 | 0.01 | 1.0x | 12 | 0% |
| EMA 크로스오버 fast=52, slow=181 |
-1.1% | -45.7% | -0.02 | -0.02 | 0.9x | 13 | 35% |
| SMA 크로스오버 fast=28, slow=159 |
-1.8% | -32.3% | -0.06 | -0.06 | 0.8x | 19 | 37% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
-0.7% | -21.6% | -0.06 | -0.03 | 0.9x | 10 | 10% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=0.9 |
-2.2% | -39.3% | -0.09 | -0.06 | 0.8x | 78 | 35% |
| Supertrend period=29, mult=4.3 |
-4.1% | -48.6% | -0.17 | -0.08 | 0.6x | 42 | 47% |
| MACD fast=17, slow=45, signal=19 |
-7.9% | -63.4% | -0.34 | -0.12 | 0.4x | 108 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-9.4% | -69.7% | -0.44 | -0.14 | 0.3x | 92 | 50% |
| Buy and hold | -9.0% | -79.2% | -0.21 | -0.11 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)