Trend-Following Backtester · Guide · backtest 한국어
equity · US
BJ's Wholesale Club Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of BJ's Wholesale Club Holdings, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.8%, drawdown -38.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.0%, MDD -33.6%, Sharpe 0.62, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=21, threshold=-0.14 |
17.0% | -33.6% | 0.62 | 0.51 | 3.6x | 21 | 97% |
| EMA 크로스오버 fast=58, slow=168 |
10.7% | -33.2% | 0.49 | 0.32 | 2.3x | 12 | 65% |
| SMA 크로스오버 fast=38, slow=216 |
10.2% | -36.8% | 0.49 | 0.28 | 2.2x | 15 | 59% |
| Supertrend period=6, mult=4.9 |
7.7% | -38.3% | 0.40 | 0.20 | 1.8x | 23 | 58% |
| ADX / DI 방향성 period=28, threshold=37 |
1.5% | -7.6% | 0.36 | 0.20 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=29, k=2.9 |
4.0% | -35.1% | 0.31 | 0.11 | 1.4x | 18 | 15% |
| Donchian 채널 돌파 entryN=20, exitN=67 |
4.0% | -44.9% | 0.28 | 0.09 | 1.4x | 23 | 77% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=2.9 |
-1.9% | -42.6% | 0.02 | -0.04 | 0.9x | 30 | 31% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.9% | -50.4% | -0.01 | -0.08 | 0.7x | 83 | 50% |
| MACD fast=16, slow=23, signal=16 |
-8.8% | -66.9% | -0.20 | -0.13 | 0.5x | 128 | 48% |
| Buy and hold | 18.8% | -38.8% | 0.65 | 0.49 | 4.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 21-day return is greater than -14%
- Sell — Sell when the 21-day return drops to -14% or below