Trend-Following Backtester · Guide · backtest 한국어
equity · US
Papa John's International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Papa John's International, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -55.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -78.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -55.8%, Sharpe 0.41, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 22.9%p (CAGR 7.9%, MDD -55.8%, 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=50, slow=228 |
7.9% | -55.8% | 0.41 | 0.14 | 12.6x | 36 | 58% |
| SMA 크로스오버 fast=51, slow=277 |
6.5% | -59.9% | 0.36 | 0.11 | 8.0x | 34 | 58% |
| Donchian 채널 돌파 entryN=21, exitN=75 |
5.1% | -72.8% | 0.32 | 0.07 | 5.2x | 80 | 79% |
| ADX / DI 방향성 period=35, threshold=34 |
1.2% | -12.0% | 0.31 | 0.10 | 1.5x | 10 | 3% |
| Supertrend period=18, mult=3.9 |
4.0% | -71.3% | 0.28 | 0.06 | 3.7x | 132 | 54% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.9% | -68.5% | 0.21 | 0.03 | 1.8x | 276 | 54% |
| 볼린저 밴드 돌파 n=55, k=2.2 |
0.7% | -60.1% | 0.14 | 0.01 | 1.3x | 128 | 34% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=2.3 |
0.4% | -63.1% | 0.12 | 0.01 | 1.1x | 158 | 33% |
| ROC 모멘텀 n=147, threshold=-0.02 |
-0.9% | -88.5% | 0.10 | -0.01 | 0.7x | 274 | 61% |
| MACD fast=17, slow=57, signal=18 |
-3.2% | -79.9% | 0.02 | -0.04 | 0.3x | 370 | 52% |
| Buy and hold | 8.6% | -78.6% | 0.41 | 0.11 | 15.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 228-day EMA
- Sell — Sell when the 50-day EMA falls below the 228-day EMA