Trend-Following Backtester · Guide · backtest 한국어
equity · US
Scotts Miracle-Gro Company (The) backtest
10 trend-following strategies were compared on the full daily history of Scotts Miracle-Gro Company (The). 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.8%, MDD -58.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.3%, drawdown -84.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -58.4%, Sharpe 0.35, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 5.8%, MDD -58.4%, exposure 60%).
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=44, slow=133 |
5.8% | -58.4% | 0.35 | 0.10 | 6.9x | 67 | 60% |
| EMA 크로스오버 fast=36, slow=98 |
4.8% | -53.1% | 0.32 | 0.09 | 5.0x | 67 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=97 |
4.9% | -72.2% | 0.31 | 0.07 | 5.2x | 93 | 85% |
| ROC 모멘텀 n=91, threshold=-0.02 |
1.5% | -59.7% | 0.19 | 0.03 | 1.7x | 301 | 63% |
| Supertrend period=25, mult=3.5 |
-0.1% | -58.5% | 0.11 | -0.00 | 1.0x | 211 | 55% |
| 볼린저 밴드 돌파 n=32, k=1.1 |
-1.2% | -78.1% | 0.05 | -0.02 | 0.7x | 323 | 44% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=2.2 |
-1.5% | -65.1% | 0.01 | -0.02 | 0.6x | 175 | 41% |
| ADX / DI 방향성 period=43, threshold=15 |
-1.9% | -67.0% | -0.05 | -0.03 | 0.5x | 144 | 25% |
| MACD fast=16, slow=48, signal=17 |
-3.9% | -87.0% | -0.05 | -0.04 | 0.3x | 407 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-6.0% | -90.2% | -0.14 | -0.07 | 0.1x | 601 | 53% |
| Buy and hold | 5.3% | -84.1% | 0.32 | 0.06 | 5.9x | 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 44-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 44-day average falls below the 133-day average