Trend-Following Backtester · Guide · backtest 한국어
equity · US
McCormick & Company, Incorporated backtest
10 trend-following strategies were compared on the full daily history of McCormick & Company, Incorporated. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -61.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.3%, MDD -62.8%, Sharpe 0.30, 81% exposure.
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 n=189, threshold=-0.09 |
4.3% | -62.8% | 0.30 | 0.07 | 9.7x | 234 | 81% |
| ADX / DI 방향성 period=29, threshold=37 |
0.8% | -9.4% | 0.30 | 0.08 | 1.5x | 6 | 1% |
| Donchian 채널 돌파 entryN=18, exitN=77 |
3.5% | -65.6% | 0.27 | 0.05 | 6.2x | 139 | 80% |
| SMA 크로스오버 fast=31, slow=208 |
3.2% | -66.0% | 0.26 | 0.05 | 5.3x | 88 | 63% |
| EMA 크로스오버 fast=31, slow=143 |
2.9% | -55.4% | 0.24 | 0.05 | 4.6x | 110 | 63% |
| Supertrend period=18, mult=4.2 |
1.8% | -62.6% | 0.19 | 0.03 | 2.5x | 231 | 58% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
0.9% | -52.2% | 0.14 | 0.02 | 1.6x | 52 | 12% |
| MACD fast=32, slow=47, signal=31 |
-0.1% | -73.3% | 0.09 | -0.00 | 0.9x | 425 | 51% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=12, mult=2.1 |
-1.0% | -70.2% | 0.03 | -0.01 | 0.6x | 248 | 47% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-5.0% | -98.7% | -0.17 | -0.05 | 0.1x | 1080 | 53% |
| Buy and hold | 7.9% | -61.2% | 0.42 | 0.13 | 58.9x | 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 189-day return is greater than -9%
- Sell — Sell when the 189-day return drops to -9% or below