Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Waste Connections, Inc. backtest
10 trend-following strategies were compared on the full daily history of Waste Connections, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.5%, MDD -26.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.5%, drawdown -75.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -32.7%, Sharpe 0.77, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 12.5%, MDD -26.7%, exposure 75%).
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=98, slow=147 |
12.7% | -32.7% | 0.77 | 0.39 | 18.0x | 38 | 68% |
| EMA 크로스오버 fast=94, slow=221 |
12.5% | -26.7% | 0.74 | 0.47 | 17.5x | 10 | 75% |
| Donchian 채널 돌파 entryN=151, exitN=78 |
9.1% | -36.5% | 0.67 | 0.25 | 8.2x | 22 | 55% |
| ROC 모멘텀 n=148, threshold=-0.05 |
9.2% | -54.5% | 0.58 | 0.17 | 8.4x | 101 | 80% |
| 볼린저 밴드 돌파 n=41, k=3.2 |
4.2% | -17.9% | 0.49 | 0.23 | 2.7x | 41 | 17% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=13, mult=3.9 |
2.2% | -16.1% | 0.40 | 0.13 | 1.7x | 26 | 9% |
| ADX / DI 방향성 period=47, threshold=14 |
3.9% | -22.3% | 0.38 | 0.17 | 2.5x | 92 | 33% |
| Supertrend period=28, mult=4.8 |
4.9% | -68.9% | 0.37 | 0.07 | 3.2x | 77 | 66% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-2.2% | -70.3% | -0.04 | -0.03 | 0.6x | 536 | 56% |
| MACD fast=9, slow=52, signal=19 |
-4.0% | -75.7% | -0.17 | -0.05 | 0.4x | 368 | 49% |
| Buy and hold | 12.5% | -75.1% | 0.61 | 0.17 | 17.6x | 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 98-day average price crosses above the 147-day average
- Sell — Sell (to cash) when the 98-day average falls below the 147-day average