Trend-Following Backtester · Guide · backtest 한국어
equity · US
Molson Coors Beverage Company backtest
10 trend-following strategies were compared on the full daily history of Molson Coors Beverage Company. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.0%, drawdown -73.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.1%, MDD -75.4%, Sharpe 0.20, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.08 |
1.1% | -75.4% | 0.20 | 0.02 | 1.8x | 71 | 100% |
| SMA 크로스오버 fast=47, slow=120 |
-0.2% | -65.5% | 0.11 | -0.00 | 0.9x | 110 | 52% |
| Donchian 채널 돌파 entryN=11, exitN=65 |
-1.6% | -85.7% | 0.08 | -0.02 | 0.4x | 187 | 78% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=3.8 |
0.1% | -53.4% | 0.07 | 0.00 | 1.1x | 90 | 12% |
| EMA 크로스오버 fast=59, slow=211 |
-1.5% | -88.1% | 0.05 | -0.02 | 0.5x | 80 | 50% |
| Supertrend period=9, mult=4.7 |
-2.2% | -83.4% | 0.01 | -0.03 | 0.3x | 196 | 49% |
| ADX / DI 방향성 period=30, threshold=33 |
-0.1% | -23.9% | 0.00 | -0.00 | 1.0x | 22 | 2% |
| 볼린저 밴드 돌파 n=42, k=2.2 |
-2.0% | -77.6% | -0.04 | -0.03 | 0.3x | 227 | 27% |
| MACD fast=44, slow=64, signal=20 |
-3.5% | -88.5% | -0.04 | -0.04 | 0.2x | 381 | 53% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.5% | -96.8% | -0.19 | -0.07 | 0.0x | 415 | 51% |
| Buy and hold | 2.0% | -73.2% | 0.22 | 0.03 | 2.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -8%
- Sell — Sell when the 1-day return drops to -8% or below