Trend-Following Backtester · Guide · backtest 한국어
equity · US
Weis Markets, Inc. backtest
10 trend-following strategies were compared on the full daily history of Weis Markets, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -51.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.9%, MDD -57.0%, Sharpe 0.36, 99% 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 99% n=7, threshold=-0.11 |
5.9% | -57.0% | 0.36 | 0.10 | 14.3x | 55 | 99% |
| SMA 크로스오버 fast=46, slow=136 |
4.1% | -59.6% | 0.31 | 0.07 | 6.6x | 95 | 57% |
| ADX / DI 방향성 period=39, threshold=26 |
1.1% | -30.4% | 0.26 | 0.04 | 1.7x | 24 | 5% |
| Donchian 채널 돌파 entryN=38, exitN=55 |
2.0% | -72.8% | 0.20 | 0.03 | 2.5x | 117 | 65% |
| Supertrend period=16, mult=4.5 |
0.6% | -74.0% | 0.12 | 0.01 | 1.3x | 191 | 55% |
| EMA 크로스오버 fast=59, slow=179 |
0.5% | -83.2% | 0.12 | 0.01 | 1.3x | 73 | 59% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=20, mult=2.7 |
0.0% | -58.1% | 0.05 | 0.00 | 1.0x | 200 | 17% |
| 볼린저 밴드 돌파 n=43, k=3.3 |
-0.2% | -57.3% | 0.01 | -0.00 | 0.9x | 84 | 12% |
| MACD fast=19, slow=36, signal=18 |
-3.7% | -95.8% | -0.13 | -0.04 | 0.2x | 546 | 51% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-3.8% | -95.3% | -0.13 | -0.04 | 0.2x | 544 | 51% |
| Buy and hold | 6.1% | -51.9% | 0.36 | 0.12 | 15.8x | 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 7-day return is greater than -11%
- Sell — Sell when the 7-day return drops to -11% or below