Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Middleby Corporation backtest
10 trend-following strategies were compared on the full daily history of The Middleby Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.8%, MDD -58.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -91.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -58.3%, Sharpe 0.53, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 33.3%p (CAGR 13.8%, MDD -58.3%, exposure 60%).
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=59, slow=157 |
13.8% | -58.3% | 0.53 | 0.24 | 157.5x | 57 | 60% |
| EMA 크로스오버 fast=51, slow=178 |
11.1% | -71.5% | 0.47 | 0.16 | 61.3x | 65 | 65% |
| Donchian 채널 돌파 entryN=23, exitN=78 |
11.6% | -85.4% | 0.46 | 0.14 | 71.5x | 89 | 81% |
| Supertrend period=15, mult=4.1 |
7.2% | -78.2% | 0.37 | 0.09 | 15.2x | 180 | 55% |
| ROC 모멘텀 n=156, threshold=-0.08 |
6.1% | -80.8% | 0.34 | 0.08 | 10.0x | 264 | 72% |
| MACD fast=23, slow=31, signal=29 |
4.4% | -87.3% | 0.30 | 0.05 | 5.5x | 368 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.7% | -84.7% | 0.28 | 0.04 | 4.1x | 458 | 50% |
| 볼린저 밴드 돌파 n=39, k=1.8 |
3.7% | -84.2% | 0.27 | 0.04 | 4.2x | 236 | 38% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=1.7 |
2.6% | -92.7% | 0.23 | 0.03 | 2.7x | 282 | 39% |
| ADX / DI 방향성 period=26, threshold=11 |
-0.1% | -95.4% | 0.17 | -0.00 | 1.0x | 488 | 48% |
| Buy and hold | 14.2% | -91.6% | 0.51 | 0.16 | 178.8x | 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 59-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 59-day average falls below the 157-day average