Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arcos Dorados Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Arcos Dorados Holdings Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -18.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.1%, drawdown -92.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -49.1%, Sharpe 0.34, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR -0.1%, MDD -18.2%, exposure 3%).
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=55, slow=172 |
5.5% | -49.1% | 0.34 | 0.11 | 2.3x | 15 | 41% |
| SMA 크로스오버 fast=13, slow=213 |
5.1% | -43.5% | 0.32 | 0.12 | 2.1x | 27 | 43% |
| ROC 모멘텀 n=138, threshold=0.09 |
3.7% | -46.7% | 0.27 | 0.08 | 1.7x | 108 | 35% |
| 볼린저 밴드 돌파 n=45, k=2.8 |
3.1% | -34.5% | 0.26 | 0.09 | 1.6x | 30 | 18% |
| MACD fast=31, slow=45, signal=17 |
1.9% | -79.0% | 0.21 | 0.02 | 1.3x | 137 | 49% |
| Donchian 채널 돌파 entryN=107, exitN=42 |
1.6% | -36.6% | 0.18 | 0.04 | 1.3x | 19 | 27% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=4 |
1.4% | -23.5% | 0.17 | 0.06 | 1.2x | 18 | 11% |
| Parabolic SAR step=0.035, maxStep=0.08 |
-1.8% | -56.9% | 0.08 | -0.03 | 0.8x | 292 | 48% |
| Supertrend period=18, mult=3.9 |
-2.2% | -70.2% | 0.06 | -0.03 | 0.7x | 64 | 50% |
| ADX / DI 방향성 period=21, threshold=33 |
-0.1% | -18.2% | 0.02 | -0.01 | 1.0x | 10 | 3% |
| Buy and hold | -6.1% | -92.3% | 0.07 | -0.07 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 172-day EMA
- Sell — Sell when the 55-day EMA falls below the 172-day EMA