Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cracker Barrel Old Country Store, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cracker Barrel Old Country Store, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.6%, MDD -65.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.7%, drawdown -86.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.6%, MDD -65.9%, Sharpe 0.52, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.5%, MDD -71.3%, exposure 73%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 20.5%p (CAGR 10.6%, MDD -65.9%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=113 |
10.6% | -65.9% | 0.52 | 0.16 | 90.9x | 105 | 58% |
| Donchian 채널 돌파 entryN=32, exitN=78 |
11.5% | -71.3% | 0.51 | 0.16 | 130.7x | 97 | 73% |
| 볼린저 밴드 돌파 n=30, k=2.7 |
7.4% | -60.2% | 0.50 | 0.12 | 24.4x | 164 | 23% |
| SMA 크로스오버 fast=35, slow=168 |
9.7% | -67.6% | 0.49 | 0.14 | 62.2x | 77 | 57% |
| Supertrend period=21, mult=5 |
8.4% | -69.9% | 0.43 | 0.12 | 36.7x | 131 | 54% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=21, mult=2.6 |
6.6% | -78.6% | 0.40 | 0.08 | 17.4x | 159 | 39% |
| MACD fast=19, slow=56, signal=19 |
7.3% | -79.7% | 0.39 | 0.09 | 23.8x | 442 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.8% | -77.6% | 0.34 | 0.07 | 12.6x | 378 | 53% |
| ROC 모멘텀 n=145, threshold=0.08 |
4.9% | -70.3% | 0.32 | 0.07 | 8.5x | 329 | 45% |
| ADX / DI 방향성 period=15, threshold=25 |
3.7% | -69.4% | 0.29 | 0.05 | 5.1x | 361 | 26% |
| Buy and hold | 10.7% | -86.3% | 0.45 | 0.12 | 93.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 113-day EMA
- Sell — Sell when the 30-day EMA falls below the 113-day EMA