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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -48.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.1%, MDD -42.7%, Sharpe 0.31, 58% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=415 |
4.1% | -42.7% | 0.31 | 0.10 | 3.6x | 33 | 58% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
1.3% | -15.3% | 0.30 | 0.08 | 1.5x | 20 | 5% |
| EMA 크로스오버 fast=75, slow=225 |
3.3% | -52.9% | 0.27 | 0.06 | 2.8x | 31 | 59% |
| Donchian 채널 돌파 entryN=11, exitN=72 |
0.6% | -68.9% | 0.14 | 0.01 | 1.2x | 109 | 84% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=3.8 |
0.8% | -34.4% | 0.13 | 0.02 | 1.3x | 65 | 19% |
| Supertrend period=11, mult=3.8 |
-1.4% | -68.2% | 0.01 | -0.02 | 0.6x | 159 | 51% |
| ADX / DI 방향성 period=25, threshold=24 |
-0.2% | -35.9% | 0.00 | -0.01 | 0.9x | 70 | 11% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-4.0% | -79.6% | -0.10 | -0.05 | 0.3x | 325 | 67% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.5% | -83.4% | -0.17 | -0.05 | 0.2x | 271 | 53% |
| MACD fast=17, slow=58, signal=15 |
-5.3% | -86.5% | -0.23 | -0.06 | 0.2x | 381 | 50% |
| Buy and hold | 5.5% | -48.9% | 0.34 | 0.11 | 5.5x | 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 28-day average price crosses above the 415-day average
- Sell — Sell (to cash) when the 28-day average falls below the 415-day average