Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hasbro, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hasbro, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.2%, MDD -53.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -75.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.2%, MDD -53.4%, Sharpe 0.58, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 21.6%p (CAGR 12.2%, MDD -53.4%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=70 |
12.2% | -53.4% | 0.58 | 0.23 | 204.8x | 98 | 63% |
| SMA 크로스오버 fast=35, slow=139 |
11.9% | -63.3% | 0.57 | 0.19 | 182.7x | 98 | 62% |
| ROC 모멘텀 n=122, threshold=-0.09 |
11.7% | -69.0% | 0.53 | 0.17 | 166.0x | 295 | 78% |
| Donchian 채널 돌파 entryN=23, exitN=48 |
10.5% | -76.0% | 0.50 | 0.14 | 103.7x | 147 | 74% |
| 볼린저 밴드 돌파 n=78, k=2.4 |
7.9% | -39.2% | 0.49 | 0.20 | 33.4x | 108 | 34% |
| Supertrend period=16, mult=4.8 |
9.3% | -69.3% | 0.48 | 0.13 | 61.4x | 167 | 60% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=22, mult=3.6 |
7.3% | -42.8% | 0.47 | 0.17 | 26.5x | 125 | 34% |
| MACD fast=21, slow=112, signal=32 |
2.4% | -61.0% | 0.22 | 0.04 | 3.0x | 337 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.2% | -88.8% | 0.21 | 0.03 | 2.8x | 391 | 57% |
| ADX / DI 방향성 period=35, threshold=39 |
0.6% | -10.5% | 0.21 | 0.06 | 1.3x | 4 | 1% |
| Buy and hold | 15.8% | -75.0% | 0.59 | 0.21 | 886.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 70-day EMA
- Sell — Sell when the 59-day EMA falls below the 70-day EMA