Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corteva, Inc. backtest
10 trend-following strategies were compared on the full daily history of Corteva, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.8%, MDD -20.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -35.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.8%, MDD -20.9%, Sharpe 0.73, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 14.4%p (CAGR 14.8%, MDD -20.9%, exposure 64%).
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=56, slow=205 |
14.8% | -20.9% | 0.73 | 0.71 | 2.7x | 9 | 64% |
| EMA 크로스오버 fast=59, slow=148 |
11.5% | -30.8% | 0.57 | 0.37 | 2.2x | 9 | 70% |
| Donchian 채널 돌파 entryN=59, exitN=87 |
10.6% | -36.0% | 0.55 | 0.29 | 2.1x | 9 | 68% |
| ROC 모멘텀 n=136, threshold=-0.09 |
10.1% | -29.0% | 0.51 | 0.35 | 2.0x | 39 | 80% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
2.2% | -22.0% | 0.28 | 0.10 | 1.2x | 8 | 12% |
| Supertrend period=26, mult=2.7 |
3.0% | -48.4% | 0.25 | 0.06 | 1.2x | 59 | 55% |
| MACD fast=9, slow=15, signal=6 |
2.7% | -44.1% | 0.23 | 0.06 | 1.2x | 191 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=18, mult=4 |
0.8% | -26.5% | 0.14 | 0.03 | 1.1x | 12 | 14% |
| ADX / DI 방향성 period=39, threshold=18 |
-0.0% | -19.4% | 0.04 | -0.00 | 1.0x | 12 | 12% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-4.9% | -50.3% | -0.11 | -0.10 | 0.7x | 103 | 54% |
| Buy and hold | 15.8% | -35.3% | 0.61 | 0.45 | 2.9x | 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 56-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 56-day average falls below the 205-day average