Trend-Following Backtester · Guide · backtest 한국어
equity · US
The J.M. Smucker Company backtest
10 trend-following strategies were compared on the full daily history of The J.M. Smucker Company. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.2%, drawdown -48.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.3%, MDD -15.3%, Sharpe 0.30, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -42.7%, exposure 58%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=3.5 |
1.3% | -15.3% | 0.30 | 0.08 | 1.5x | 20 | 5% |
| SMA 크로스오버 fast=28, slow=415 |
3.8% | -42.7% | 0.30 | 0.09 | 3.3x | 33 | 58% |
| EMA 크로스오버 fast=75, slow=225 |
3.0% | -52.9% | 0.25 | 0.06 | 2.5x | 31 | 59% |
| Donchian 채널 돌파 entryN=11, exitN=72 |
0.3% | -68.9% | 0.13 | 0.00 | 1.1x | 109 | 84% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=3.8 |
0.5% | -34.4% | 0.10 | 0.01 | 1.2x | 65 | 19% |
| ADX / DI 방향성 period=25, threshold=24 |
-0.2% | -35.9% | 0.00 | -0.01 | 0.9x | 70 | 11% |
| Supertrend period=11, mult=3.8 |
-1.7% | -68.2% | -0.01 | -0.03 | 0.6x | 159 | 51% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-4.3% | -79.6% | -0.12 | -0.05 | 0.2x | 325 | 67% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.8% | -83.4% | -0.19 | -0.06 | 0.2x | 271 | 53% |
| MACD fast=17, slow=58, signal=15 |
-5.4% | -86.5% | -0.24 | -0.06 | 0.2x | 379 | 50% |
| Buy and hold | 5.2% | -48.9% | 0.33 | 0.11 | 5.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 24-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 24-day middle average