Trend-Following Backtester · Guide · backtest 한국어
equity · US
Five Below, Inc. backtest
10 trend-following strategies were compared on the full daily history of Five Below, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.4%, MDD -38.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.1%, drawdown -76.4%).
Sharpe leader (same as main): Supertrend — CAGR 21.4%, MDD -38.6%, Sharpe 0.78, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 21.4%, MDD -38.6%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=4.4 |
21.4% | -38.6% | 0.78 | 0.56 | 15.5x | 43 | 62% |
| Donchian 채널 돌파 entryN=11, exitN=73 |
17.4% | -63.2% | 0.62 | 0.27 | 9.6x | 37 | 85% |
| SMA 크로스오버 fast=48, slow=75 |
12.4% | -49.7% | 0.54 | 0.25 | 5.2x | 45 | 59% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
7.0% | -33.6% | 0.51 | 0.21 | 2.6x | 21 | 18% |
| EMA 크로스오버 fast=40, slow=103 |
10.4% | -52.8% | 0.48 | 0.20 | 4.0x | 27 | 62% |
| MACD fast=17, slow=92, signal=19 |
9.1% | -41.7% | 0.45 | 0.22 | 3.4x | 141 | 49% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=23, mult=3.7 |
5.8% | -36.1% | 0.40 | 0.16 | 2.2x | 31 | 24% |
| ROC 모멘텀 n=90, threshold=0.12 |
6.4% | -54.9% | 0.38 | 0.12 | 2.4x | 120 | 39% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.8% | -56.0% | 0.34 | 0.10 | 2.2x | 245 | 52% |
| ADX / DI 방향성 period=15, threshold=44 |
1.0% | -12.4% | 0.21 | 0.08 | 1.1x | 14 | 2% |
| Buy and hold | 17.1% | -76.4% | 0.58 | 0.22 | 9.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)