Trend-Following Backtester · Guide · backtest 한국어
equity · US
Primo Brands Corporation backtest
10 trend-following strategies were compared on the full daily history of Primo Brands Corporation. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.3%, MDD -52.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.8%, drawdown -98.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.3%, MDD -52.9%, Sharpe 0.50, 34% exposure.
CAGR reference leader: Supertrend — CAGR 11.8%, MDD -78.4%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 10.3%, MDD -52.9%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=2.7 |
10.3% | -52.9% | 0.50 | 0.20 | 28.5x | 120 | 34% |
| Supertrend period=4, mult=5 |
11.8% | -78.4% | 0.49 | 0.15 | 45.0x | 115 | 54% |
| Donchian 채널 돌파 entryN=102, exitN=36 |
9.4% | -59.3% | 0.46 | 0.16 | 21.1x | 65 | 34% |
| ROC 모멘텀 n=119, threshold=0.06 |
9.4% | -71.5% | 0.45 | 0.13 | 21.3x | 263 | 43% |
| EMA 크로스오버 fast=42, slow=58 |
9.2% | -72.2% | 0.43 | 0.13 | 19.9x | 93 | 52% |
| SMA 크로스오버 fast=89, slow=149 |
8.6% | -74.6% | 0.41 | 0.12 | 16.8x | 55 | 53% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
7.3% | -55.5% | 0.39 | 0.13 | 10.9x | 122 | 32% |
| ADX / DI 방향성 period=30, threshold=8 |
3.8% | -86.3% | 0.27 | 0.04 | 3.5x | 428 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
1.9% | -76.2% | 0.22 | 0.03 | 1.9x | 558 | 52% |
| MACD fast=10, slow=25, signal=19 |
0.5% | -85.6% | 0.18 | 0.01 | 1.2x | 558 | 51% |
| Buy and hold | 4.8% | -98.2% | 0.34 | 0.05 | 4.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 57-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 57-day average