Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sylvamo Corporation backtest
10 trend-following strategies were compared on the full daily history of Sylvamo Corporation. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.8%, MDD -31.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.4%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.8%, MDD -43.4%, Sharpe 0.79, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.4%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 11.8%, MDD -31.7%, exposure 22%).
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=55, slow=88 |
21.8% | -43.4% | 0.79 | 0.50 | 2.7x | 10 | 50% |
| Parabolic SAR step=0.04, maxStep=0.2 |
19.0% | -53.5% | 0.75 | 0.35 | 2.4x | 144 | 53% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=15, mult=1 |
11.8% | -31.7% | 0.72 | 0.37 | 1.7x | 62 | 22% |
| ROC 모멘텀 n=86, threshold=-0.04 |
12.8% | -39.0% | 0.54 | 0.33 | 1.8x | 30 | 55% |
| Supertrend period=10, mult=4.8 |
12.5% | -37.1% | 0.53 | 0.34 | 1.8x | 14 | 47% |
| EMA 크로스오버 fast=32, slow=199 |
11.0% | -44.1% | 0.52 | 0.25 | 1.7x | 6 | 44% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
3.0% | -9.7% | 0.40 | 0.31 | 1.2x | 2 | 8% |
| Donchian 채널 돌파 entryN=18, exitN=48 |
7.1% | -43.7% | 0.37 | 0.16 | 1.4x | 14 | 63% |
| ADX / DI 방향성 period=35, threshold=12 |
6.3% | -36.8% | 0.36 | 0.17 | 1.4x | 30 | 38% |
| MACD fast=7, slow=26, signal=7 |
-2.6% | -75.9% | 0.05 | -0.03 | 0.9x | 124 | 50% |
| Buy and hold | 5.4% | -65.8% | 0.34 | 0.08 | 1.3x | 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 55-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 55-day average falls below the 88-day average