Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tootsie Roll Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tootsie Roll Industries, Inc.. 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 11.1%, drawdown -51.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -48.4%, Sharpe 0.46, 62% 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=58, slow=166 |
7.9% | -48.4% | 0.46 | 0.16 | 34.4x | 88 | 62% |
| Donchian 채널 돌파 entryN=8, exitN=72 |
7.8% | -51.0% | 0.43 | 0.15 | 32.6x | 151 | 88% |
| EMA 크로스오버 fast=59, slow=194 |
5.8% | -67.5% | 0.37 | 0.09 | 13.7x | 67 | 64% |
| Supertrend period=18, mult=4.4 |
5.3% | -69.6% | 0.36 | 0.08 | 11.1x | 164 | 57% |
| Keltner 채널 돌파 emaPeriod=80, atrPeriod=25, mult=3.1 |
3.0% | -57.9% | 0.26 | 0.05 | 4.0x | 144 | 38% |
| ADX / DI 방향성 period=40, threshold=20 |
1.9% | -36.1% | 0.25 | 0.05 | 2.4x | 62 | 14% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.3% | -80.9% | 0.16 | 0.02 | 1.8x | 381 | 53% |
| MACD fast=39, slow=73, signal=27 |
1.3% | -77.5% | 0.16 | 0.02 | 1.8x | 307 | 52% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
0.9% | -79.4% | 0.14 | 0.01 | 1.5x | 262 | 42% |
| ROC 모멘텀 n=148, threshold=0.1 |
0.7% | -86.3% | 0.13 | 0.01 | 1.4x | 336 | 41% |
| Buy and hold | 11.1% | -51.0% | 0.52 | 0.22 | 132.3x | 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 58-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 58-day average falls below the 166-day average