Trend-Following Backtester · Guide · backtest 한국어
equity · US
Petco Health and Wellness Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Petco Health and Wellness Company, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR -4.7%, MDD -40.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.8%, drawdown -94.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.6%, MDD -44.6%, Sharpe 0.26, 12% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 38.4%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR -4.7%, MDD -40.9%, exposure 8%).
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=39, threshold=20 |
3.6% | -44.6% | 0.26 | 0.08 | 1.2x | 2 | 12% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
3.0% | -50.0% | 0.24 | 0.06 | 1.2x | 10 | 5% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=3.4 |
0.3% | -45.1% | 0.13 | 0.01 | 1.0x | 8 | 4% |
| Parabolic SAR step=0.025, maxStep=0.08 |
-6.3% | -64.4% | 0.09 | -0.10 | 0.7x | 88 | 42% |
| SMA 크로스오버 fast=29, slow=177 |
-6.1% | -54.4% | 0.00 | -0.11 | 0.7x | 9 | 19% |
| ROC 모멘텀 n=84, threshold=0.14 |
-7.7% | -57.7% | -0.02 | -0.13 | 0.6x | 22 | 15% |
| MACD fast=16, slow=23, signal=14 |
-17.2% | -79.2% | -0.09 | -0.22 | 0.3x | 74 | 50% |
| Donchian 채널 돌파 entryN=102, exitN=11 |
-6.0% | -47.3% | -0.13 | -0.13 | 0.7x | 6 | 7% |
| EMA 크로스오버 fast=32, slow=249 |
-4.7% | -40.9% | -0.14 | -0.11 | 0.8x | 4 | 8% |
| Supertrend period=27, mult=2.7 |
-17.7% | -74.2% | -0.17 | -0.24 | 0.3x | 39 | 33% |
| Buy and hold | -34.8% | -94.9% | -0.25 | -0.37 | 0.1x | 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, 39-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)