Trend-Following Backtester · Guide · backtest 한국어
equity · US
Driven Brands Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Driven Brands Holdings Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.4%, MDD -6.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -13.9%, drawdown -70.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -7.1%, MDD -46.4%, Sharpe -0.04, 69% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.3%, MDD -6.7%, exposure 2%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR -0.4%, MDD -6.4%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=26, exitN=79 |
-7.1% | -46.4% | -0.04 | -0.15 | 0.7x | 13 | 69% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
-0.3% | -6.7% | -0.06 | -0.04 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=3.3 |
-0.3% | -6.7% | -0.06 | -0.04 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=18, threshold=31 |
-0.4% | -6.4% | -0.13 | -0.06 | 1.0x | 4 | 0% |
| SMA 크로스오버 fast=40, slow=214 |
-5.6% | -33.0% | -0.17 | -0.17 | 0.7x | 7 | 34% |
| MACD fast=10, slow=14, signal=17 |
-11.1% | -62.0% | -0.33 | -0.18 | 0.5x | 111 | 51% |
| EMA 크로스오버 fast=21, slow=149 |
-11.6% | -55.2% | -0.36 | -0.21 | 0.5x | 14 | 39% |
| ROC 모멘텀 n=81, threshold=-0.04 |
-16.2% | -65.9% | -0.42 | -0.25 | 0.4x | 70 | 55% |
| Supertrend period=7, mult=3.4 |
-19.1% | -75.6% | -0.50 | -0.25 | 0.3x | 36 | 61% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-18.7% | -73.2% | -0.59 | -0.26 | 0.3x | 76 | 48% |
| Buy and hold | -13.9% | -70.1% | -0.10 | -0.20 | 0.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 26 days
- Sell — Sell when price breaks below the lowest low of the last 79 days