Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coca-Cola Consolidated, Inc. backtest
10 trend-following strategies were compared on the full daily history of Coca-Cola Consolidated, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -56.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.8%, drawdown -85.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -56.4%, Sharpe 0.53, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.9%, MDD -75.6%, exposure 82%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 10.3%, MDD -56.4%, exposure 57%).
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=20, slow=164 |
10.3% | -56.4% | 0.53 | 0.18 | 188.6x | 121 | 57% |
| EMA 크로스오버 fast=46, slow=101 |
9.9% | -61.5% | 0.51 | 0.16 | 152.8x | 105 | 57% |
| Donchian 채널 돌파 entryN=18, exitN=114 |
10.9% | -75.6% | 0.50 | 0.14 | 250.4x | 93 | 82% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=2.6 |
5.3% | -35.8% | 0.46 | 0.15 | 15.5x | 166 | 16% |
| ADX / DI 방향성 period=10, threshold=30 |
6.3% | -54.7% | 0.42 | 0.11 | 26.0x | 586 | 35% |
| 볼린저 밴드 돌파 n=27, k=2.6 |
5.6% | -49.5% | 0.42 | 0.11 | 18.6x | 242 | 24% |
| Parabolic SAR step=0.015, maxStep=0.22 |
6.4% | -82.5% | 0.38 | 0.08 | 27.1x | 801 | 52% |
| Supertrend period=8, mult=5 |
6.1% | -63.5% | 0.37 | 0.10 | 23.9x | 144 | 55% |
| ROC 모멘텀 n=180, threshold=-0.04 |
6.1% | -77.8% | 0.36 | 0.08 | 23.2x | 301 | 65% |
| MACD fast=19, slow=52, signal=19 |
3.9% | -73.0% | 0.28 | 0.05 | 7.8x | 533 | 50% |
| Buy and hold | 9.8% | -85.4% | 0.45 | 0.11 | 146.6x | 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 20-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 20-day average falls below the 164-day average