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 12.0%, MDD -34.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.0%, drawdown -47.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.9%, MDD -42.0%, Sharpe 0.79, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 5.5%p (CAGR 12.0%, 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 |
12.9% | -42.0% | 0.79 | 0.31 | 9.0x | 24 | 66% |
| SMA 크로스오버 fast=9, slow=148 |
12.0% | -34.0% | 0.76 | 0.35 | 7.8x | 40 | 65% |
| EMA 크로스오버 fast=31, slow=82 |
12.0% | -40.4% | 0.75 | 0.30 | 7.8x | 34 | 65% |
| ROC 모멘텀 n=92, threshold=0 |
9.8% | -34.4% | 0.64 | 0.28 | 5.4x | 106 | 64% |
| 볼린저 밴드 돌파 n=35, k=3.1 |
4.5% | -27.1% | 0.53 | 0.16 | 2.2x | 42 | 19% |
| Supertrend period=19, mult=5 |
7.3% | -46.6% | 0.51 | 0.16 | 3.6x | 52 | 64% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=2.1 |
4.4% | -41.3% | 0.37 | 0.11 | 2.2x | 86 | 48% |
| ADX / DI 방향성 period=52, threshold=7 |
4.0% | -49.0% | 0.33 | 0.08 | 2.0x | 172 | 58% |
| Parabolic SAR step=0.01, maxStep=0.26 |
1.2% | -51.3% | 0.16 | 0.02 | 1.2x | 228 | 58% |
| MACD fast=16, slow=34, signal=17 |
-0.8% | -56.9% | 0.03 | -0.01 | 0.9x | 218 | 50% |
| Buy and hold | 11.0% | -47.6% | 0.55 | 0.23 | 6.6x | 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