Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Campbell's Company backtest
10 trend-following strategies were compared on the full daily history of The Campbell's Company. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.8%, MDD -51.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.5%, drawdown -70.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -51.3%, Sharpe 0.35, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 19.1%p (CAGR 4.8%, MDD -51.3%, exposure 58%).
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=76, slow=164 |
4.8% | -51.3% | 0.35 | 0.09 | 12.1x | 78 | 58% |
| EMA 크로스오버 fast=48, slow=190 |
3.3% | -53.7% | 0.27 | 0.06 | 5.6x | 72 | 59% |
| Donchian 채널 돌파 entryN=106, exitN=67 |
2.1% | -50.9% | 0.21 | 0.04 | 3.1x | 78 | 49% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=4 |
0.7% | -15.6% | 0.21 | 0.05 | 1.5x | 14 | 2% |
| ROC 모멘텀 n=124, threshold=-0.1 |
1.5% | -82.3% | 0.17 | 0.02 | 2.2x | 342 | 81% |
| ADX / DI 방향성 period=22, threshold=50 |
0.3% | -11.3% | 0.13 | 0.02 | 1.2x | 4 | 0% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
-0.4% | -55.3% | -0.03 | -0.01 | 0.8x | 44 | 5% |
| Supertrend period=14, mult=5 |
-2.8% | -88.3% | -0.07 | -0.03 | 0.2x | 189 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.1% | -93.0% | -0.15 | -0.04 | 0.1x | 455 | 51% |
| MACD fast=18, slow=41, signal=19 |
-4.3% | -95.1% | -0.16 | -0.05 | 0.1x | 626 | 51% |
| Buy and hold | 4.5% | -70.4% | 0.30 | 0.06 | 10.6x | 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 76-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 76-day average falls below the 164-day average