Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Loblaw Companies Limited backtest
10 trend-following strategies were compared on the full daily history of Loblaw Companies Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.5%, MDD -35.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -65.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -35.6%, Sharpe 0.70, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 30.0%p (CAGR 10.5%, MDD -35.6%, exposure 64%).
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=57, slow=210 |
10.5% | -35.6% | 0.70 | 0.29 | 23.2x | 35 | 64% |
| Donchian 채널 돌파 entryN=84, exitN=74 |
8.8% | -27.0% | 0.62 | 0.33 | 14.3x | 44 | 63% |
| EMA 크로스오버 fast=83, slow=142 |
9.2% | -39.9% | 0.61 | 0.23 | 16.3x | 41 | 68% |
| ROC 모멘텀 n=147, threshold=0.06 |
6.0% | -52.4% | 0.47 | 0.12 | 6.4x | 194 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=4 |
3.6% | -21.7% | 0.42 | 0.17 | 3.1x | 60 | 26% |
| Supertrend period=27, mult=4.7 |
5.1% | -52.5% | 0.39 | 0.10 | 4.8x | 97 | 64% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
0.9% | -8.3% | 0.30 | 0.11 | 1.3x | 28 | 3% |
| ADX / DI 방향성 period=36, threshold=20 |
1.5% | -34.4% | 0.22 | 0.04 | 1.6x | 76 | 21% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.5% | -78.5% | -0.03 | -0.02 | 0.6x | 279 | 55% |
| MACD fast=16, slow=56, signal=12 |
-2.5% | -76.8% | -0.11 | -0.03 | 0.4x | 443 | 49% |
| Buy and hold | 12.5% | -65.6% | 0.67 | 0.19 | 41.6x | 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 57-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 57-day average falls below the 210-day average