Trend-Following Backtester · Guide · backtest 한국어
equity · US
Biglari Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Biglari Holdings Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -62.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -87.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -62.5%, Sharpe 0.43, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 9.5%, MDD -62.5%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=73, slow=319 |
9.5% | -62.5% | 0.43 | 0.15 | 66.3x | 37 | 61% |
| EMA 크로스오버 fast=45, slow=192 |
7.2% | -68.9% | 0.37 | 0.10 | 24.8x | 59 | 59% |
| Supertrend period=21, mult=5 |
6.5% | -71.6% | 0.35 | 0.09 | 18.2x | 125 | 60% |
| ADX / DI 방향성 period=19, threshold=14 |
5.1% | -78.4% | 0.31 | 0.07 | 10.2x | 569 | 48% |
| Donchian 채널 돌파 entryN=26, exitN=75 |
3.7% | -90.5% | 0.31 | 0.04 | 5.4x | 121 | 73% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.8% | -88.9% | 0.30 | 0.05 | 8.8x | 526 | 53% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
2.2% | -43.5% | 0.21 | 0.05 | 2.8x | 57 | 13% |
| ROC 모멘텀 n=142, threshold=0.1 |
0.9% | -81.6% | 0.18 | 0.01 | 1.5x | 391 | 46% |
| MACD fast=21, slow=54, signal=20 |
-0.5% | -95.2% | 0.15 | -0.01 | 0.8x | 462 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=2.9 |
-0.2% | -64.5% | 0.11 | -0.00 | 0.9x | 155 | 30% |
| Buy and hold | 9.2% | -87.0% | 0.44 | 0.11 | 58.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 73-day average price crosses above the 319-day average
- Sell — Sell (to cash) when the 73-day average falls below the 319-day average