Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chipotle Mexican Grill, Inc. backtest
10 trend-following strategies were compared on the full daily history of Chipotle Mexican Grill, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.8%, MDD -42.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.0%, drawdown -74.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.8%, MDD -42.6%, Sharpe 0.78, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 32.0%p (CAGR 18.8%, MDD -42.6%, exposure 63%).
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=8, slow=175 |
18.8% | -42.6% | 0.78 | 0.44 | 34.6x | 53 | 63% |
| Supertrend period=15, mult=4.4 |
17.9% | -47.9% | 0.74 | 0.37 | 29.7x | 77 | 60% |
| SMA 크로스오버 fast=41, slow=212 |
18.1% | -50.2% | 0.74 | 0.36 | 30.8x | 20 | 65% |
| Donchian 채널 돌파 entryN=153, exitN=53 |
13.8% | -42.4% | 0.69 | 0.32 | 14.3x | 32 | 48% |
| ROC 모멘텀 n=101, threshold=0.06 |
14.7% | -42.8% | 0.68 | 0.34 | 16.8x | 151 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=1.5 |
11.8% | -43.7% | 0.58 | 0.27 | 9.9x | 133 | 53% |
| ADX / DI 방향성 period=29, threshold=16 |
9.6% | -48.2% | 0.57 | 0.20 | 6.6x | 130 | 36% |
| 볼린저 밴드 돌파 n=56, k=1.4 |
9.6% | -44.9% | 0.52 | 0.21 | 6.7x | 111 | 46% |
| Parabolic SAR step=0.015, maxStep=0.06 |
9.1% | -59.3% | 0.46 | 0.15 | 6.0x | 263 | 57% |
| MACD fast=17, slow=72, signal=16 |
6.0% | -69.3% | 0.35 | 0.09 | 3.3x | 209 | 52% |
| Buy and hold | 20.0% | -74.6% | 0.67 | 0.27 | 43.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 175-day EMA
- Sell — Sell when the 8-day EMA falls below the 175-day EMA