Trend-Following Backtester · Guide · backtest 한국어
equity · US
Starbucks Corporation backtest
10 trend-following strategies were compared on the full daily history of Starbucks Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.3%, drawdown -81.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -69.7%, Sharpe 0.64, 92% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, exitN=176 |
17.6% | -69.7% | 0.64 | 0.25 | 257.5x | 33 | 92% |
| SMA 크로스오버 fast=17, slow=122 |
13.1% | -44.2% | 0.59 | 0.30 | 67.4x | 83 | 62% |
| EMA 크로스오버 fast=24, slow=73 |
10.9% | -49.1% | 0.51 | 0.22 | 33.9x | 101 | 63% |
| Supertrend period=16, mult=5 |
10.1% | -48.3% | 0.49 | 0.21 | 26.6x | 91 | 56% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
7.2% | -56.9% | 0.41 | 0.13 | 10.9x | 245 | 48% |
| ROC 모멘텀 n=84, threshold=0.04 |
7.5% | -46.2% | 0.41 | 0.16 | 11.8x | 348 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=20, mult=1.8 |
6.8% | -55.6% | 0.40 | 0.12 | 9.5x | 190 | 46% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.1% | -62.7% | 0.35 | 0.10 | 7.7x | 295 | 58% |
| ADX / DI 방향성 period=41, threshold=34 |
0.6% | -7.7% | 0.25 | 0.08 | 1.2x | 2 | 1% |
| MACD fast=16, slow=38, signal=19 |
2.2% | -67.7% | 0.21 | 0.03 | 2.1x | 413 | 51% |
| Buy and hold | 18.3% | -81.9% | 0.64 | 0.22 | 314.8x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 176 days