Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Marzetti Company backtest
10 trend-following strategies were compared on the full daily history of The Marzetti Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -56.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -41.6%, Sharpe 0.37, 64% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=44, slow=241 |
5.9% | -41.6% | 0.37 | 0.14 | 14.1x | 62 | 64% |
| Donchian 채널 돌파 entryN=29, exitN=61 |
5.8% | -70.1% | 0.37 | 0.08 | 13.8x | 116 | 70% |
| ROC 모멘텀 n=102, threshold=-0.13 |
5.6% | -73.1% | 0.34 | 0.08 | 12.3x | 192 | 88% |
| ADX / DI 방향성 period=32, threshold=34 |
2.0% | -27.9% | 0.32 | 0.07 | 2.5x | 22 | 5% |
| EMA 크로스오버 fast=49, slow=194 |
3.9% | -64.2% | 0.28 | 0.06 | 5.9x | 74 | 66% |
| MACD fast=41, slow=68, signal=53 |
2.6% | -67.0% | 0.23 | 0.04 | 3.3x | 247 | 51% |
| Supertrend period=9, mult=5 |
2.4% | -77.6% | 0.22 | 0.03 | 3.0x | 134 | 57% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
1.9% | -74.4% | 0.19 | 0.02 | 2.3x | 216 | 36% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=3.8 |
1.2% | -62.1% | 0.16 | 0.02 | 1.7x | 88 | 19% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.3% | -90.3% | 0.09 | -0.00 | 0.9x | 376 | 55% |
| Buy and hold | 9.8% | -56.7% | 0.47 | 0.17 | 77.8x | 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 44-day average price crosses above the 241-day average
- Sell — Sell (to cash) when the 44-day average falls below the 241-day average