Trend-Following Backtester · Guide · backtest 한국어
equity · US
J & J Snack Foods Corp. backtest
10 trend-following strategies were compared on the full daily history of J & J Snack Foods Corp.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.6%, MDD -50.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -76.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -50.7%, Sharpe 0.41, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 7.6%, MDD -50.7%, exposure 61%).
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=32, slow=142 |
7.6% | -50.7% | 0.41 | 0.15 | 19.3x | 74 | 61% |
| EMA 크로스오버 fast=51, slow=106 |
6.2% | -48.4% | 0.36 | 0.13 | 11.3x | 70 | 64% |
| Donchian 채널 돌파 entryN=61, exitN=72 |
4.9% | -51.6% | 0.31 | 0.09 | 6.9x | 66 | 64% |
| ADX / DI 방향성 period=25, threshold=31 |
2.2% | -23.9% | 0.26 | 0.09 | 2.4x | 40 | 8% |
| Supertrend period=9, mult=5 |
2.6% | -73.6% | 0.23 | 0.03 | 2.8x | 98 | 59% |
| ROC 모멘텀 n=184, threshold=-0.03 |
2.5% | -61.9% | 0.23 | 0.04 | 2.7x | 220 | 69% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-3.1% | -93.0% | 0.02 | -0.03 | 0.3x | 303 | 53% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-1.1% | -55.7% | -0.00 | -0.02 | 0.6x | 58 | 10% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=4 |
-1.1% | -50.0% | -0.03 | -0.02 | 0.6x | 44 | 6% |
| MACD fast=22, slow=47, signal=28 |
-4.8% | -96.1% | -0.05 | -0.05 | 0.1x | 387 | 49% |
| Buy and hold | 7.3% | -76.2% | 0.38 | 0.10 | 17.7x | 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 32-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 32-day average falls below the 142-day average