Trend-Following Backtester · Guide · backtest 한국어
equity · US
Winmark Corporation backtest
10 trend-following strategies were compared on the full daily history of Winmark Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -63.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -85.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -63.2%, Sharpe 0.46, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 9.9%, MDD -63.2%, exposure 71%).
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=69, exitN=99 |
9.9% | -63.2% | 0.46 | 0.16 | 22.7x | 32 | 71% |
| SMA 크로스오버 fast=48, slow=193 |
7.9% | -71.6% | 0.41 | 0.11 | 12.1x | 46 | 63% |
| EMA 크로스오버 fast=19, slow=73 |
6.7% | -59.4% | 0.37 | 0.11 | 8.4x | 120 | 60% |
| ROC 모멘텀 n=94, threshold=-0.04 |
4.6% | -76.6% | 0.30 | 0.06 | 4.4x | 222 | 71% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
3.5% | -72.2% | 0.26 | 0.05 | 3.1x | 160 | 41% |
| Supertrend period=25, mult=4.9 |
3.1% | -88.1% | 0.25 | 0.04 | 2.7x | 104 | 56% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=24, mult=2.9 |
3.0% | -57.6% | 0.24 | 0.05 | 2.6x | 120 | 36% |
| MACD fast=27, slow=42, signal=13 |
2.3% | -84.1% | 0.22 | 0.03 | 2.1x | 354 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.8% | -75.9% | 0.17 | 0.01 | 1.3x | 232 | 54% |
| ADX / DI 방향성 period=26, threshold=39 |
0.8% | -27.5% | 0.14 | 0.03 | 1.3x | 12 | 5% |
| Buy and hold | 9.9% | -85.4% | 0.43 | 0.12 | 22.1x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 99 days