Trend-Following Backtester · Guide · backtest 한국어
equity · US
Del Monte Corporation backtest
10 trend-following strategies were compared on the full daily history of Del Monte Corporation. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -53.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.9%, drawdown -84.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -53.3%, Sharpe 0.37, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 6.5%, MDD -53.3%, exposure 51%).
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=77, slow=229 |
6.5% | -53.3% | 0.37 | 0.12 | 6.1x | 28 | 51% |
| EMA 크로스오버 fast=33, slow=118 |
4.3% | -61.6% | 0.29 | 0.07 | 3.4x | 54 | 53% |
| Donchian 채널 돌파 entryN=118, exitN=72 |
2.2% | -66.0% | 0.21 | 0.03 | 1.9x | 38 | 47% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=17, mult=3.1 |
2.2% | -67.1% | 0.21 | 0.03 | 1.9x | 88 | 21% |
| ADX / DI 방향성 period=39, threshold=26 |
1.1% | -24.6% | 0.17 | 0.05 | 1.4x | 18 | 6% |
| 볼린저 밴드 돌파 n=71, k=2.6 |
0.8% | -46.7% | 0.13 | 0.02 | 1.3x | 54 | 22% |
| ROC 모멘텀 n=124, threshold=0 |
-1.0% | -75.3% | 0.09 | -0.01 | 0.8x | 238 | 53% |
| Supertrend period=23, mult=4.9 |
-1.2% | -81.2% | 0.09 | -0.01 | 0.7x | 98 | 48% |
| MACD fast=8, slow=42, signal=19 |
-9.4% | -98.0% | -0.20 | -0.10 | 0.1x | 445 | 51% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-10.8% | -97.0% | -0.28 | -0.11 | 0.0x | 591 | 51% |
| Buy and hold | 1.9% | -84.2% | 0.25 | 0.02 | 1.7x | 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 77-day average price crosses above the 229-day average
- Sell — Sell (to cash) when the 77-day average falls below the 229-day average