Trend-Following Backtester · Guide · backtest 한국어

equity · US

Boston Beer Company, Inc. (The) backtest

10 trend-following strategies were compared on the full daily history of Boston Beer Company, Inc. (The). 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.2%, MDD -65.3%).

Data 1995-11-21 ~ 2026-07-31daily bars 7,722 (30.7 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 6.3%, drawdown -87.7%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.5%, MDD -72.4%, Sharpe 0.46, 59% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 5.2%, MDD -65.3%, exposure 50%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=50, slow=219
9.5%-72.4%0.460.1316.2x3259%
Donchian 채널 돌파
entryN=30, exitN=77
7.2%-74.7%0.380.108.4x6973%
SMA 크로스오버
fast=59, slow=150
5.9%-77.7%0.350.085.8x5855%
ROC 모멘텀
n=139, threshold=0.05
5.2%-65.3%0.330.084.8x28250%
ADX / DI 방향성
period=32, threshold=25
2.9%-26.8%0.290.112.4x5410%
MACD
fast=21, slow=37, signal=47
2.7%-81.2%0.230.032.2x23953%
Supertrend
period=25, mult=4.6
1.3%-81.6%0.180.021.5x11255%
볼린저 밴드 돌파
n=42, k=1.8
1.4%-80.0%0.180.021.5x17838%
Parabolic SAR
step=0.005, maxStep=0.1
0.5%-82.3%0.160.011.2x24254%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=26, mult=2.8
0.5%-72.5%0.130.011.2x12631%
Buy and hold6.3%-87.7%0.350.076.5x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -88% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -72.4% (2021-04-20 → 2026-05-14), prior peak not yet recovered.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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