Trend-Following Backtester · Guide · backtest 한국어

equity · US

AutoZone, Inc. backtest

10 trend-following strategies were compared on the full daily history of AutoZone, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1991-04-02 ~ 2026-07-31daily bars 8,897 (35.3 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 18.6%, drawdown -46.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -48.1%, Sharpe 0.52, 67% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 10.6%, MDD -68.1%, exposure 88%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=54, exitN=60
9.4%-48.1%0.520.2023.8x7267%
ROC 모멘텀
n=145, threshold=-0.11
10.6%-68.1%0.520.1635.5x14288%
EMA 크로스오버
fast=40, slow=80
9.3%-64.2%0.520.1523.3x8669%
SMA 크로스오버
fast=37, slow=191
8.7%-63.3%0.490.1419.0x5870%
볼린저 밴드 돌파
n=50, k=3.3
3.0%-25.2%0.420.122.8x188%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=23, mult=2.3
5.5%-61.2%0.390.096.7x17846%
MACD
fast=30, slow=62, signal=25
6.0%-49.2%0.390.127.9x27153%
Supertrend
period=20, mult=5
6.0%-67.4%0.380.097.8x12063%
Parabolic SAR
step=0.005, maxStep=0.38
5.6%-57.8%0.360.106.8x30659%
ADX / DI 방향성
period=38, threshold=23
0.9%-36.5%0.150.021.4x348%
Buy and hold18.6%-46.3%0.720.40408.7x1100%
1x 10x 100x 1992 1997 2002 2007 2012 2017 2022 ROC 모멘텀Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -17% -34% -51% -68% 1992 1997 2002 2007 2012 2017 2022 Buy and holdROC 모멘텀Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -48.1% (1994-03-16 → 2000-10-12), recovered after 2,758 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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