Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sysco Corporation backtest
10 trend-following strategies were compared on the full daily history of Sysco Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -70.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -63.6%, Sharpe 0.53, 74% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=186, slow=385 |
10.9% | -63.6% | 0.53 | 0.17 | 240.8x | 31 | 74% |
| ROC 모멘텀 n=32, threshold=-0.11 |
8.1% | -67.7% | 0.42 | 0.12 | 61.9x | 219 | 94% |
| EMA 크로스오버 fast=52, slow=193 |
6.6% | -64.1% | 0.39 | 0.10 | 30.5x | 73 | 73% |
| Donchian 채널 돌파 entryN=45, exitN=60 |
4.2% | -68.1% | 0.29 | 0.06 | 9.0x | 145 | 68% |
| MACD fast=23, slow=49, signal=24 |
2.0% | -59.5% | 0.20 | 0.03 | 2.9x | 471 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.8% | -61.8% | 0.19 | 0.03 | 2.6x | 397 | 54% |
| ADX / DI 방향성 period=39, threshold=15 |
1.5% | -50.3% | 0.17 | 0.03 | 2.2x | 192 | 26% |
| Supertrend period=10, mult=4.5 |
0.6% | -71.4% | 0.14 | 0.01 | 1.4x | 265 | 61% |
| 볼린저 밴드 돌파 n=41, k=1.9 |
-0.7% | -80.5% | 0.04 | -0.01 | 0.7x | 325 | 39% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=23, mult=4 |
-0.3% | -50.8% | 0.02 | -0.01 | 0.8x | 100 | 9% |
| Buy and hold | 12.5% | -70.0% | 0.54 | 0.18 | 531.0x | 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 186-day average price crosses above the 385-day average
- Sell — Sell (to cash) when the 186-day average falls below the 385-day average