Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pilgrim's Pride Corporation backtest
10 trend-following strategies were compared on the full daily history of Pilgrim's Pride Corporation. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.4%, MDD -63.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.2%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -63.1%, Sharpe 0.53, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.6%, MDD -68.1%, exposure 68%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 12.4%, MDD -63.1%, exposure 56%).
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=34, slow=94 |
12.4% | -63.1% | 0.53 | 0.20 | 90.9x | 106 | 56% |
| EMA 크로스오버 fast=10, slow=130 |
11.7% | -68.5% | 0.51 | 0.17 | 71.2x | 114 | 57% |
| Donchian 채널 돌파 entryN=26, exitN=59 |
12.6% | -68.1% | 0.51 | 0.18 | 97.5x | 113 | 68% |
| ROC 모멘텀 n=64, threshold=-0.03 |
9.5% | -84.6% | 0.44 | 0.11 | 33.1x | 420 | 62% |
| Parabolic SAR step=0.01, maxStep=0.34 |
8.7% | -87.8% | 0.43 | 0.10 | 24.7x | 459 | 51% |
| Supertrend period=12, mult=2.7 |
8.8% | -79.4% | 0.41 | 0.11 | 26.2x | 327 | 54% |
| ADX / DI 방향성 period=36, threshold=9 |
7.6% | -69.8% | 0.39 | 0.11 | 17.0x | 394 | 55% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=9, mult=2.8 |
6.2% | -74.9% | 0.39 | 0.08 | 10.1x | 154 | 23% |
| 볼린저 밴드 돌파 n=27, k=2 |
6.2% | -70.3% | 0.36 | 0.09 | 10.1x | 288 | 34% |
| MACD fast=18, slow=51, signal=18 |
3.3% | -95.9% | 0.30 | 0.03 | 3.5x | 411 | 51% |
| Buy and hold | 6.2% | -99.6% | 0.40 | 0.06 | 10.2x | 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 34-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 34-day average falls below the 94-day average