Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Maple Leaf Foods Inc. backtest
10 trend-following strategies were compared on the full daily history of Maple Leaf Foods Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -69.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.3%, MDD -22.5%, Sharpe 0.24, 4% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.8%, MDD -66.7%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=3.4 |
1.3% | -22.5% | 0.24 | 0.06 | 1.5x | 28 | 4% |
| EMA 크로스오버 fast=59, slow=88 |
2.8% | -66.7% | 0.24 | 0.04 | 2.3x | 54 | 55% |
| SMA 크로스오버 fast=51, slow=147 |
2.4% | -44.3% | 0.22 | 0.05 | 2.0x | 56 | 54% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
1.5% | -49.9% | 0.18 | 0.03 | 1.6x | 78 | 22% |
| Donchian 채널 돌파 entryN=41, exitN=74 |
1.4% | -72.5% | 0.18 | 0.02 | 1.5x | 63 | 67% |
| MACD fast=13, slow=43, signal=13 |
0.6% | -55.6% | 0.13 | 0.01 | 1.2x | 402 | 51% |
| Supertrend period=15, mult=4.7 |
-0.2% | -70.6% | 0.09 | -0.00 | 1.0x | 108 | 51% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-0.4% | -65.8% | 0.08 | -0.01 | 0.9x | 366 | 53% |
| ADX / DI 방향성 period=27, threshold=27 |
-0.1% | -39.6% | 0.02 | -0.00 | 1.0x | 50 | 8% |
| ROC 모멘텀 n=96, threshold=-0.02 |
-2.6% | -79.0% | -0.01 | -0.03 | 0.5x | 348 | 60% |
| Buy and hold | 5.1% | -69.1% | 0.32 | 0.07 | 4.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average