Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tyson Foods, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tyson Foods, Inc.. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.7%, MDD -61.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.4%, drawdown -82.7%).
Sharpe leader (same as main): MACD — CAGR 9.2%, MDD -70.3%, Sharpe 0.50, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 12.3%p (CAGR 7.7%, MDD -61.3%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=29, slow=44, signal=23 |
9.2% | -70.3% | 0.50 | 0.13 | 58.8x | 368 | 52% |
| 볼린저 밴드 돌파 n=30, k=2.6 |
6.0% | -45.1% | 0.45 | 0.13 | 15.3x | 192 | 25% |
| SMA 크로스오버 fast=18, slow=27 |
7.7% | -61.3% | 0.43 | 0.13 | 31.2x | 486 | 55% |
| Supertrend period=6, mult=5 |
7.7% | -61.9% | 0.43 | 0.13 | 31.9x | 144 | 56% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.8% | -61.9% | 0.36 | 0.09 | 13.7x | 334 | 52% |
| Donchian 채널 돌파 entryN=9, exitN=74 |
5.9% | -68.2% | 0.36 | 0.09 | 14.5x | 161 | 85% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=19, mult=1.9 |
4.3% | -72.2% | 0.33 | 0.06 | 7.1x | 312 | 34% |
| ADX / DI 방향성 period=21, threshold=28 |
3.0% | -53.7% | 0.30 | 0.06 | 3.9x | 148 | 15% |
| EMA 크로스오버 fast=8, slow=52 |
2.5% | -76.0% | 0.24 | 0.03 | 3.1x | 304 | 55% |
| ROC 모멘텀 n=93, threshold=-0.01 |
-0.7% | -93.3% | 0.12 | -0.01 | 0.7x | 478 | 58% |
| Buy and hold | 7.4% | -82.7% | 0.39 | 0.09 | 27.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (29/44) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line