Trend-Following Backtester · Guide · backtest 한국어
equity · US
PepsiCo, Inc. backtest
10 trend-following strategies were compared on the full daily history of PepsiCo, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.6%, drawdown -67.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.6%, MDD -67.3%, Sharpe 0.46, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
8.6% | -67.3% | 0.46 | 0.13 | 88.3x | 3 | 100% |
| EMA 크로스오버 fast=75, slow=193 |
5.2% | -45.7% | 0.36 | 0.11 | 15.5x | 62 | 73% |
| SMA 크로스오버 fast=59, slow=211 |
4.6% | -52.4% | 0.33 | 0.09 | 11.4x | 62 | 69% |
| Donchian 채널 돌파 entryN=14, exitN=66 |
4.4% | -54.8% | 0.31 | 0.08 | 10.4x | 154 | 85% |
| ADX / DI 방향성 period=37, threshold=23 |
0.8% | -25.3% | 0.17 | 0.03 | 1.6x | 44 | 6% |
| 볼린저 밴드 돌파 n=66, k=3.3 |
0.7% | -34.0% | 0.14 | 0.02 | 1.5x | 40 | 9% |
| MACD fast=29, slow=64, signal=22 |
0.6% | -64.7% | 0.11 | 0.01 | 1.3x | 437 | 51% |
| Supertrend period=13, mult=4.6 |
0.4% | -61.2% | 0.11 | 0.01 | 1.2x | 208 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=2.7 |
0.4% | -68.1% | 0.09 | 0.01 | 1.2x | 226 | 33% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.8% | -70.6% | -0.02 | -0.03 | 0.4x | 492 | 57% |
| Buy and hold | 8.6% | -67.3% | 0.46 | 0.13 | 86.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -14%
- Sell — Sell when the 1-day return drops to -14% or below