Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bloomin' Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bloomin' Brands, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -14.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.3%, drawdown -83.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -57.3%, Sharpe 0.35, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 1.0%, MDD -14.5%, exposure 5%).
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=47, slow=88 |
6.1% | -57.3% | 0.35 | 0.11 | 2.3x | 39 | 48% |
| ROC 모멘텀 n=79, threshold=0.1 |
3.1% | -59.6% | 0.25 | 0.05 | 1.5x | 133 | 31% |
| Donchian 채널 돌파 entryN=16, exitN=73 |
0.3% | -82.2% | 0.20 | 0.00 | 1.0x | 43 | 72% |
| ADX / DI 방향성 period=34, threshold=23 |
1.0% | -14.5% | 0.17 | 0.07 | 1.2x | 11 | 5% |
| MACD fast=21, slow=59, signal=28 |
-1.1% | -76.3% | 0.14 | -0.01 | 0.9x | 103 | 50% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-1.6% | -75.1% | 0.10 | -0.02 | 0.8x | 181 | 51% |
| 볼린저 밴드 돌파 n=74, k=1.1 |
-0.9% | -72.0% | 0.10 | -0.01 | 0.9x | 57 | 39% |
| Supertrend period=23, mult=3.3 |
-4.8% | -83.7% | 0.01 | -0.06 | 0.5x | 77 | 46% |
| EMA 크로스오버 fast=39, slow=81 |
-4.0% | -77.3% | -0.01 | -0.05 | 0.6x | 41 | 47% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=3.7 |
-1.2% | -48.5% | -0.02 | -0.02 | 0.8x | 23 | 13% |
| Buy and hold | -1.3% | -83.4% | 0.22 | -0.02 | 0.8x | 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 47-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 47-day average falls below the 88-day average