Trend-Following Backtester · Guide · backtest 한국어
equity · US
Constellation Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Constellation Brands, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -67.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -55.3%, Sharpe 0.49, 86% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=76 |
10.2% | -55.3% | 0.49 | 0.18 | 27.9x | 86 | 86% |
| SMA 크로스오버 fast=51, slow=173 |
8.7% | -63.1% | 0.46 | 0.14 | 17.5x | 50 | 65% |
| EMA 크로스오버 fast=20, slow=124 |
6.9% | -61.3% | 0.40 | 0.11 | 10.0x | 90 | 65% |
| Supertrend period=27, mult=2.8 |
6.1% | -50.1% | 0.37 | 0.12 | 7.7x | 250 | 61% |
| ROC 모멘텀 n=144, threshold=0.04 |
5.6% | -74.4% | 0.35 | 0.08 | 6.5x | 270 | 56% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=37, mult=2.8 |
3.3% | -50.5% | 0.27 | 0.07 | 3.1x | 132 | 40% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
1.4% | -12.6% | 0.24 | 0.11 | 1.6x | 26 | 3% |
| ADX / DI 방향성 period=38, threshold=18 |
2.1% | -30.5% | 0.23 | 0.07 | 2.0x | 84 | 20% |
| MACD fast=19, slow=51, signal=22 |
2.1% | -69.0% | 0.20 | 0.03 | 2.0x | 348 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-1.3% | -73.6% | 0.06 | -0.02 | 0.6x | 598 | 55% |
| Buy and hold | 13.8% | -67.4% | 0.56 | 0.20 | 84.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 76 days