Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Hershey Company backtest
10 trend-following strategies were compared on the full daily history of The Hershey Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -40.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -53.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -40.5%, Sharpe 0.59, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 13.3%p (CAGR 10.3%, MDD -40.5%, exposure 70%).
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=63, slow=349 |
10.3% | -40.5% | 0.59 | 0.25 | 92.5x | 28 | 70% |
| EMA 크로스오버 fast=55, slow=234 |
9.5% | -40.5% | 0.56 | 0.23 | 67.9x | 44 | 71% |
| Donchian 채널 돌파 entryN=56, exitN=141 |
9.0% | -55.0% | 0.52 | 0.16 | 54.9x | 40 | 84% |
| Supertrend period=15, mult=5 |
4.5% | -57.2% | 0.34 | 0.08 | 7.8x | 142 | 58% |
| 볼린저 밴드 돌파 n=75, k=2.9 |
2.0% | -40.1% | 0.23 | 0.05 | 2.5x | 80 | 24% |
| ROC 모멘텀 n=141, threshold=-0.03 |
2.5% | -68.9% | 0.23 | 0.04 | 3.2x | 363 | 76% |
| MACD fast=24, slow=45, signal=24 |
1.6% | -68.6% | 0.18 | 0.02 | 2.1x | 417 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=2.4 |
1.2% | -48.5% | 0.15 | 0.02 | 1.7x | 224 | 41% |
| ADX / DI 방향성 period=37, threshold=36 |
0.2% | -14.2% | 0.09 | 0.01 | 1.1x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.5% | -70.2% | 0.06 | -0.01 | 0.8x | 395 | 56% |
| Buy and hold | 12.2% | -53.9% | 0.59 | 0.23 | 206.4x | 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 63-day average price crosses above the 349-day average
- Sell — Sell (to cash) when the 63-day average falls below the 349-day average