Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Saputo Inc. backtest
10 trend-following strategies were compared on the full daily history of Saputo Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -52.9%).
Sharpe leader (same as main): Supertrend — CAGR 7.9%, MDD -43.4%, Sharpe 0.52, 58% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=7, mult=5 |
7.9% | -43.4% | 0.52 | 0.18 | 8.9x | 76 | 58% |
| Donchian 채널 돌파 entryN=53, exitN=28 |
6.2% | -39.0% | 0.46 | 0.16 | 5.7x | 78 | 47% |
| SMA 크로스오버 fast=37, slow=88 |
5.9% | -51.4% | 0.41 | 0.11 | 5.1x | 79 | 57% |
| EMA 크로스오버 fast=20, slow=161 |
5.3% | -46.7% | 0.38 | 0.11 | 4.4x | 55 | 61% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=3.8 |
3.2% | -24.4% | 0.37 | 0.13 | 2.5x | 54 | 18% |
| 볼린저 밴드 돌파 n=49, k=1.8 |
3.4% | -42.1% | 0.31 | 0.08 | 2.7x | 142 | 39% |
| ADX / DI 방향성 period=30, threshold=27 |
1.9% | -26.2% | 0.30 | 0.07 | 1.7x | 30 | 9% |
| ROC 모멘텀 n=143, threshold=0.04 |
2.4% | -54.0% | 0.23 | 0.05 | 2.0x | 182 | 52% |
| MACD fast=31, slow=59, signal=31 |
0.7% | -61.3% | 0.12 | 0.01 | 1.2x | 206 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.5% | -69.1% | 0.12 | 0.01 | 1.2x | 246 | 53% |
| Buy and hold | 9.9% | -52.9% | 0.50 | 0.19 | 15.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 7-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)