Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Restaurant Brands Asia Limited backtest
10 trend-following strategies were compared on the full daily history of Restaurant Brands Asia Limited. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.3%, MDD -17.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -11.9%, drawdown -70.5%).
Sharpe leader (same as main): MACD — CAGR 4.7%, MDD -30.2%, Sharpe 0.32, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 2.3%, MDD -17.9%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=54, slow=71, signal=50 |
4.7% | -30.2% | 0.32 | 0.16 | 1.3x | 16 | 44% |
| Supertrend period=23, mult=3.6 |
4.6% | -36.1% | 0.31 | 0.13 | 1.3x | 14 | 48% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=20, mult=3.1 |
2.3% | -17.9% | 0.23 | 0.13 | 1.1x | 8 | 17% |
| Donchian 채널 돌파 entryN=19, exitN=7 |
1.8% | -44.4% | 0.19 | 0.04 | 1.1x | 26 | 25% |
| SMA 크로스오버 fast=22, slow=90 |
0.8% | -25.7% | 0.14 | 0.03 | 1.0x | 15 | 37% |
| 볼린저 밴드 돌파 n=35, k=1.4 |
0.9% | -44.8% | 0.14 | 0.02 | 1.0x | 32 | 28% |
| ADX / DI 방향성 period=19, threshold=21 |
0.6% | -36.5% | 0.13 | 0.02 | 1.0x | 28 | 28% |
| ROC 모멘텀 n=40, threshold=0.13 |
0.4% | -24.1% | 0.09 | 0.02 | 1.0x | 40 | 13% |
| EMA 크로스오버 fast=21, slow=27 |
-0.8% | -37.7% | 0.07 | -0.02 | 1.0x | 22 | 38% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-18.9% | -77.9% | -0.68 | -0.24 | 0.3x | 117 | 47% |
| Buy and hold | -11.9% | -70.5% | -0.15 | -0.17 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (54/71) crosses above its 50-day signal line
- Sell — Sell when the MACD line crosses back below the signal line