Trend-Following Backtester · Guide · backtest 한국어
equity · US
Grocery Outlet Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of Grocery Outlet Holding Corp.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.5%, MDD -4.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.4%, drawdown -87.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -11.2%, Sharpe 0.19, 4% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 76.4%p (CAGR -0.5%, MDD -4.0%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=24 |
0.9% | -11.2% | 0.19 | 0.08 | 1.1x | 4 | 4% |
| Supertrend period=27, mult=3 |
-0.2% | -54.9% | 0.13 | -0.00 | 1.0x | 41 | 38% |
| SMA 크로스오버 fast=51, slow=153 |
0.5% | -64.2% | 0.13 | 0.01 | 1.0x | 9 | 30% |
| MACD fast=18, slow=49, signal=13 |
-1.2% | -58.2% | 0.12 | -0.02 | 0.9x | 71 | 53% |
| Donchian 채널 돌파 entryN=99, exitN=37 |
0.2% | -34.8% | 0.10 | 0.01 | 1.0x | 9 | 20% |
| ROC 모멘텀 n=110, threshold=0.12 |
-0.2% | -40.4% | 0.09 | -0.01 | 1.0x | 39 | 18% |
| 볼린저 밴드 돌파 n=12, k=2.7 |
-0.2% | -17.2% | 0.01 | -0.01 | 1.0x | 14 | 5% |
| EMA 크로스오버 fast=13, slow=217 |
-3.4% | -48.3% | -0.08 | -0.07 | 0.8x | 13 | 24% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=3.9 |
-0.5% | -4.0% | -0.15 | -0.12 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-11.0% | -79.4% | -0.29 | -0.14 | 0.4x | 197 | 50% |
| Buy and hold | -11.4% | -87.6% | -0.02 | -0.13 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)