Trend-Following Backtester · Guide · backtest 한국어
equity · US
Crown Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Crown Holdings, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.4%, MDD -72.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -98.4%).
Sharpe leader (same as main): Supertrend — CAGR 7.4%, MDD -72.8%, Sharpe 0.41, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.7%, MDD -86.5%, exposure 95%.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 25.6%p (CAGR 7.4%, MDD -72.8%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=3 |
7.4% | -72.8% | 0.41 | 0.10 | 27.2x | 347 | 58% |
| ROC 모멘텀 n=10, threshold=-0.09 |
7.7% | -86.5% | 0.39 | 0.09 | 31.5x | 315 | 95% |
| SMA 크로스오버 fast=42, slow=286 |
7.0% | -71.8% | 0.39 | 0.10 | 23.0x | 51 | 69% |
| Donchian 채널 돌파 entryN=6, exitN=81 |
7.6% | -89.3% | 0.39 | 0.09 | 30.0x | 145 | 90% |
| EMA 크로스오버 fast=36, slow=200 |
6.0% | -70.9% | 0.36 | 0.08 | 15.0x | 71 | 69% |
| MACD fast=26, slow=65, signal=22 |
4.1% | -76.9% | 0.28 | 0.05 | 6.3x | 369 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.0% | -70.2% | 0.24 | 0.04 | 3.9x | 387 | 56% |
| 볼린저 밴드 돌파 n=56, k=2 |
1.7% | -53.6% | 0.18 | 0.03 | 2.2x | 195 | 36% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=11, mult=3.7 |
1.3% | -35.9% | 0.18 | 0.04 | 1.8x | 44 | 4% |
| ADX / DI 방향성 period=26, threshold=20 |
0.4% | -61.5% | 0.10 | 0.01 | 1.2x | 187 | 22% |
| Buy and hold | 8.5% | -98.4% | 0.40 | 0.09 | 43.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)