Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Simply Good Foods Company backtest
10 trend-following strategies were compared on the full daily history of The Simply Good Foods Company. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.8%, MDD -28.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -77.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -46.6%, Sharpe 0.41, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 0.8%, MDD -28.9%, exposure 18%).
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=38, slow=179 |
7.2% | -46.6% | 0.41 | 0.15 | 1.9x | 16 | 55% |
| ROC 모멘텀 n=172, threshold=0.05 |
4.1% | -48.4% | 0.29 | 0.09 | 1.4x | 64 | 47% |
| EMA 크로스오버 fast=26, slow=198 |
2.8% | -52.2% | 0.24 | 0.05 | 1.3x | 18 | 57% |
| ADX / DI 방향성 period=36, threshold=19 |
2.3% | -31.8% | 0.23 | 0.07 | 1.2x | 20 | 17% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
2.2% | -32.7% | 0.22 | 0.07 | 1.2x | 20 | 21% |
| Supertrend period=23, mult=4.3 |
1.0% | -54.6% | 0.16 | 0.02 | 1.1x | 32 | 56% |
| Donchian 채널 돌파 entryN=63, exitN=54 |
0.6% | -47.9% | 0.14 | 0.01 | 1.1x | 20 | 48% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=2.3 |
0.8% | -28.9% | 0.12 | 0.03 | 1.1x | 36 | 18% |
| MACD fast=8, slow=24, signal=14 |
-4.7% | -68.1% | -0.04 | -0.07 | 0.6x | 158 | 48% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-6.7% | -73.0% | -0.13 | -0.09 | 0.5x | 186 | 49% |
| Buy and hold | -1.9% | -77.2% | 0.14 | -0.02 | 0.8x | 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 38-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 38-day average falls below the 179-day average