Trend-Following Backtester · Guide · backtest 한국어
equity · US
Perrigo Company plc backtest
10 trend-following strategies were compared on the full daily history of Perrigo Company plc. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -24.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.4%, drawdown -95.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -72.9%, Sharpe 0.29, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 1.7%, MDD -24.5%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=176 |
4.3% | -72.9% | 0.29 | 0.06 | 4.3x | 56 | 49% |
| Donchian 채널 돌파 entryN=119, exitN=74 |
3.8% | -69.7% | 0.28 | 0.06 | 3.7x | 40 | 38% |
| EMA 크로스오버 fast=51, slow=213 |
3.2% | -74.2% | 0.25 | 0.04 | 3.0x | 46 | 46% |
| ADX / DI 방향성 period=39, threshold=22 |
1.7% | -24.5% | 0.22 | 0.07 | 1.8x | 24 | 6% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=19, mult=3.8 |
1.7% | -47.7% | 0.20 | 0.04 | 1.8x | 52 | 13% |
| ROC 모멘텀 n=144, threshold=0.14 |
-0.5% | -70.8% | 0.07 | -0.01 | 0.8x | 282 | 29% |
| Supertrend period=15, mult=3.2 |
-1.7% | -93.4% | 0.06 | -0.02 | 0.6x | 190 | 52% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
-0.3% | -57.7% | 0.05 | -0.01 | 0.9x | 82 | 18% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.7% | -92.4% | -0.02 | -0.04 | 0.3x | 281 | 51% |
| MACD fast=25, slow=35, signal=50 |
-6.0% | -96.3% | -0.10 | -0.06 | 0.1x | 263 | 52% |
| Buy and hold | -0.4% | -95.5% | 0.18 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 51-day average falls below the 176-day average