Trend-Following Backtester · Guide · backtest 한국어
equity · US
Prestige Consumer Healthcare Inc. backtest
10 trend-following strategies were compared on the full daily history of Prestige Consumer Healthcare Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.8%, MDD -42.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.9%, drawdown -80.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.9%, MDD -45.4%, Sharpe 0.35, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 5.8%, MDD -42.4%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=235 |
5.9% | -45.4% | 0.35 | 0.13 | 3.4x | 26 | 60% |
| SMA 크로스오버 fast=55, slow=134 |
5.8% | -42.4% | 0.35 | 0.14 | 3.3x | 46 | 57% |
| Donchian 채널 돌파 entryN=111, exitN=62 |
4.3% | -44.9% | 0.30 | 0.10 | 2.5x | 30 | 48% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.6% | -62.7% | 0.26 | 0.06 | 2.1x | 343 | 52% |
| Supertrend period=23, mult=2.6 |
3.0% | -50.3% | 0.24 | 0.06 | 1.9x | 165 | 55% |
| ROC 모멘텀 n=87, threshold=-0.04 |
0.7% | -66.9% | 0.17 | 0.01 | 1.2x | 204 | 65% |
| ADX / DI 방향성 period=16, threshold=31 |
0.8% | -30.3% | 0.13 | 0.03 | 1.2x | 62 | 12% |
| MACD fast=15, slow=46, signal=19 |
-0.5% | -68.4% | 0.10 | -0.01 | 0.9x | 247 | 53% |
| 볼린저 밴드 돌파 n=40, k=1.1 |
-2.7% | -63.9% | 0.01 | -0.04 | 0.6x | 179 | 45% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=25, mult=2.9 |
-1.9% | -52.0% | -0.02 | -0.04 | 0.7x | 70 | 23% |
| Buy and hold | 4.9% | -80.6% | 0.32 | 0.06 | 2.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 235-day EMA
- Sell — Sell when the 49-day EMA falls below the 235-day EMA