Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kroger Company (The) backtest
10 trend-following strategies were compared on the full daily history of Kroger Company (The). 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 7.7%, drawdown -85.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -85.8%, Sharpe 0.39, 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=-0.15 |
7.1% | -85.8% | 0.39 | 0.08 | 49.5x | 19 | 100% |
| SMA 크로스오버 fast=24, slow=141 |
5.7% | -71.5% | 0.37 | 0.08 | 23.0x | 116 | 62% |
| EMA 크로스오버 fast=47, slow=91 |
5.2% | -74.8% | 0.35 | 0.07 | 17.8x | 106 | 63% |
| Donchian 채널 돌파 entryN=93, exitN=84 |
4.9% | -69.0% | 0.34 | 0.07 | 15.0x | 78 | 60% |
| Supertrend period=14, mult=4.3 |
3.6% | -75.0% | 0.29 | 0.05 | 7.5x | 234 | 55% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
1.2% | -68.9% | 0.18 | 0.02 | 2.0x | 324 | 45% |
| ADX / DI 방향성 period=39, threshold=10 |
0.9% | -75.3% | 0.17 | 0.01 | 1.7x | 512 | 50% |
| Keltner 채널 돌파 emaPeriod=93, atrPeriod=16, mult=1.5 |
0.9% | -77.4% | 0.17 | 0.01 | 1.7x | 322 | 51% |
| MACD fast=26, slow=49, signal=19 |
1.0% | -85.4% | 0.15 | 0.01 | 1.8x | 519 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.7% | -86.9% | 0.10 | -0.01 | 0.7x | 449 | 53% |
| Buy and hold | 7.7% | -85.7% | 0.41 | 0.09 | 65.1x | 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 -15%
- Sell — Sell when the 2-day return drops to -15% or below