Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Premium Brands Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Premium Brands Holdings Corporation. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -34.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.0%, drawdown -47.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.8%, MDD -38.1%, Sharpe 0.85, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 9.4%p (CAGR 12.9%, MDD -34.0%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=60, exitN=74 |
13.8% | -38.1% | 0.85 | 0.36 | 10.3x | 23 | 67% |
| SMA 크로스오버 fast=9, slow=148 |
12.9% | -34.0% | 0.82 | 0.38 | 8.9x | 38 | 65% |
| EMA 크로스오버 fast=31, slow=82 |
12.8% | -36.3% | 0.80 | 0.35 | 8.8x | 33 | 65% |
| ROC 모멘텀 n=92, threshold=0 |
10.8% | -33.4% | 0.71 | 0.32 | 6.4x | 103 | 64% |
| Supertrend period=19, mult=5 |
8.1% | -41.5% | 0.56 | 0.20 | 4.1x | 51 | 65% |
| 볼린저 밴드 돌파 n=35, k=3.1 |
4.5% | -27.1% | 0.53 | 0.17 | 2.2x | 42 | 19% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=2.1 |
5.2% | -32.7% | 0.44 | 0.16 | 2.5x | 85 | 48% |
| ADX / DI 방향성 period=52, threshold=7 |
4.8% | -43.7% | 0.38 | 0.11 | 2.3x | 171 | 59% |
| Parabolic SAR step=0.01, maxStep=0.26 |
2.0% | -50.9% | 0.20 | 0.04 | 1.4x | 227 | 58% |
| MACD fast=16, slow=34, signal=17 |
-0.2% | -56.9% | 0.07 | -0.00 | 1.0x | 217 | 50% |
| Buy and hold | 12.0% | -47.6% | 0.59 | 0.25 | 7.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 60 days
- Sell — Sell when price breaks below the lowest low of the last 74 days