Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tractor Supply Company backtest
10 trend-following strategies were compared on the full daily history of Tractor Supply Company. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.8%, drawdown -76.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.9%, MDD -61.1%, Sharpe 0.54, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=212 |
11.9% | -61.1% | 0.54 | 0.19 | 38.0x | 42 | 64% |
| Donchian 채널 돌파 entryN=47, exitN=66 |
11.1% | -54.7% | 0.51 | 0.20 | 30.2x | 68 | 63% |
| SMA 크로스오버 fast=18, slow=98 |
10.5% | -50.1% | 0.51 | 0.21 | 25.8x | 98 | 59% |
| 볼린저 밴드 돌파 n=35, k=2.8 |
7.0% | -29.5% | 0.51 | 0.24 | 8.9x | 82 | 20% |
| Supertrend period=26, mult=5 |
9.1% | -63.6% | 0.46 | 0.14 | 16.8x | 96 | 58% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=4 |
6.1% | -39.3% | 0.44 | 0.16 | 6.8x | 70 | 27% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.3% | -67.6% | 0.36 | 0.09 | 7.2x | 265 | 54% |
| ROC 모멘텀 n=119, threshold=-0.04 |
6.2% | -85.9% | 0.35 | 0.07 | 7.0x | 256 | 68% |
| ADX / DI 방향성 period=34, threshold=16 |
5.2% | -69.8% | 0.35 | 0.07 | 5.2x | 160 | 32% |
| MACD fast=21, slow=33, signal=21 |
3.8% | -60.4% | 0.27 | 0.06 | 3.3x | 335 | 50% |
| Buy and hold | 19.8% | -76.2% | 0.52 | 0.26 | 351.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 212-day EMA
- Sell — Sell when the 52-day EMA falls below the 212-day EMA