Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coca-Cola Company (The) backtest
10 trend-following strategies were compared on the full daily history of Coca-Cola Company (The). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -69.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -72.4%, Sharpe 0.47, 99% 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 99% n=5, threshold=-0.09 |
8.2% | -72.4% | 0.47 | 0.11 | 87.1x | 85 | 99% |
| Donchian 채널 돌파 entryN=28, exitN=75 |
5.8% | -57.6% | 0.40 | 0.10 | 24.9x | 115 | 79% |
| SMA 크로스오버 fast=55, slow=135 |
5.5% | -65.9% | 0.39 | 0.08 | 20.5x | 103 | 63% |
| EMA 크로스오버 fast=43, slow=217 |
5.2% | -65.2% | 0.37 | 0.08 | 17.4x | 77 | 68% |
| ADX / DI 방향성 period=38, threshold=24 |
0.6% | -17.2% | 0.14 | 0.04 | 1.4x | 42 | 5% |
| Supertrend period=25, mult=5 |
0.8% | -70.4% | 0.13 | 0.01 | 1.6x | 197 | 60% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=17, mult=2.4 |
0.8% | -67.5% | 0.13 | 0.01 | 1.6x | 267 | 43% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-0.3% | -80.6% | 0.06 | -0.00 | 0.8x | 365 | 60% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
-0.3% | -59.5% | 0.03 | -0.01 | 0.8x | 205 | 32% |
| MACD fast=16, slow=45, signal=16 |
-4.0% | -93.1% | -0.18 | -0.04 | 0.1x | 735 | 51% |
| Buy and hold | 8.5% | -69.1% | 0.47 | 0.12 | 101.7x | 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 5-day return is greater than -9%
- Sell — Sell when the 5-day return drops to -9% or below