Trend-Following Backtester · Guide · backtest 한국어
equity · US
Performance Food Group Company backtest
10 trend-following strategies were compared on the full daily history of Performance Food Group Company. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.3%, drawdown -78.8%).
Sharpe leader (same as main): Supertrend — CAGR 9.5%, MDD -49.1%, Sharpe 0.45, 68% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=27, mult=4.3 |
9.5% | -49.1% | 0.45 | 0.19 | 2.7x | 42 | 68% |
| SMA 크로스오버 fast=4, slow=127 |
6.7% | -39.4% | 0.39 | 0.17 | 2.0x | 55 | 62% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=2.8 |
3.7% | -25.3% | 0.33 | 0.15 | 1.5x | 32 | 26% |
| ROC 모멘텀 n=56, threshold=0 |
5.1% | -38.9% | 0.32 | 0.13 | 1.7x | 145 | 61% |
| EMA 크로스오버 fast=10, slow=87 |
4.3% | -44.6% | 0.29 | 0.10 | 1.6x | 52 | 64% |
| Donchian 채널 돌파 entryN=98, exitN=36 |
3.6% | -30.8% | 0.27 | 0.12 | 1.5x | 25 | 47% |
| 볼린저 밴드 돌파 n=32, k=2.1 |
2.5% | -35.5% | 0.23 | 0.07 | 1.3x | 58 | 36% |
| MACD fast=11, slow=33, signal=8 |
1.4% | -55.3% | 0.18 | 0.02 | 1.2x | 218 | 49% |
| ADX / DI 방향성 period=13, threshold=27 |
0.6% | -28.5% | 0.11 | 0.02 | 1.1x | 82 | 26% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-0.8% | -59.4% | 0.10 | -0.01 | 0.9x | 152 | 57% |
| Buy and hold | 16.3% | -78.8% | 0.56 | 0.21 | 5.2x | 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) — 27-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)