Trend-Following Backtester · Guide · backtest 한국어
equity · US
Boston Beer Company, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Boston Beer Company, Inc. (The). 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.2%, MDD -65.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.3%, drawdown -87.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.5%, MDD -72.4%, Sharpe 0.46, 59% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 5.2%, MDD -65.3%, exposure 50%).
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=50, slow=219 |
9.5% | -72.4% | 0.46 | 0.13 | 16.2x | 32 | 59% |
| Donchian 채널 돌파 entryN=30, exitN=77 |
7.2% | -74.7% | 0.38 | 0.10 | 8.4x | 69 | 73% |
| SMA 크로스오버 fast=59, slow=150 |
5.9% | -77.7% | 0.35 | 0.08 | 5.8x | 58 | 55% |
| ROC 모멘텀 n=139, threshold=0.05 |
5.2% | -65.3% | 0.33 | 0.08 | 4.8x | 282 | 50% |
| ADX / DI 방향성 period=32, threshold=25 |
2.9% | -26.8% | 0.29 | 0.11 | 2.4x | 54 | 10% |
| MACD fast=21, slow=37, signal=47 |
2.7% | -81.2% | 0.23 | 0.03 | 2.2x | 239 | 53% |
| Supertrend period=25, mult=4.6 |
1.3% | -81.6% | 0.18 | 0.02 | 1.5x | 112 | 55% |
| 볼린저 밴드 돌파 n=42, k=1.8 |
1.4% | -80.0% | 0.18 | 0.02 | 1.5x | 178 | 38% |
| Parabolic SAR step=0.005, maxStep=0.1 |
0.5% | -82.3% | 0.16 | 0.01 | 1.2x | 242 | 54% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=26, mult=2.8 |
0.5% | -72.5% | 0.13 | 0.01 | 1.2x | 126 | 31% |
| Buy and hold | 6.3% | -87.7% | 0.35 | 0.07 | 6.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 219-day EMA
- Sell — Sell when the 50-day EMA falls below the 219-day EMA