Trend-Following Backtester · Guide · backtest 한국어
equity · US
Darling Ingredients Inc. backtest
10 trend-following strategies were compared on the full daily history of Darling Ingredients Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.5%, MDD -58.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -97.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.5%, MDD -58.6%, Sharpe 0.52, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 12.5%, MDD -58.6%, exposure 57%).
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=54, slow=187 |
12.5% | -58.6% | 0.52 | 0.21 | 42.7x | 39 | 57% |
| SMA 크로스오버 fast=56, slow=107 |
9.3% | -72.6% | 0.43 | 0.13 | 17.0x | 75 | 53% |
| Donchian 채널 돌파 entryN=55, exitN=46 |
8.0% | -82.1% | 0.39 | 0.10 | 11.6x | 68 | 51% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=13, mult=3.6 |
5.9% | -56.8% | 0.39 | 0.10 | 6.2x | 58 | 11% |
| ADX / DI 방향성 period=36, threshold=25 |
3.4% | -29.9% | 0.33 | 0.11 | 2.9x | 24 | 7% |
| ROC 모멘텀 n=203, threshold=0.03 |
5.8% | -87.4% | 0.33 | 0.07 | 6.0x | 199 | 54% |
| 볼린저 밴드 돌파 n=44, k=2.2 |
3.7% | -78.0% | 0.26 | 0.05 | 3.1x | 138 | 29% |
| Supertrend period=13, mult=5 |
0.3% | -97.1% | 0.19 | 0.00 | 1.1x | 115 | 55% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-2.6% | -91.9% | 0.15 | -0.03 | 0.4x | 728 | 51% |
| MACD fast=31, slow=57, signal=25 |
-2.8% | -95.9% | 0.14 | -0.03 | 0.4x | 255 | 51% |
| Buy and hold | 9.3% | -97.9% | 0.44 | 0.10 | 17.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 187-day EMA
- Sell — Sell when the 54-day EMA falls below the 187-day EMA