Trend-Following Backtester · Guide · backtest 한국어
equity · US
Darden Restaurants, Inc. backtest
10 trend-following strategies were compared on the full daily history of Darden Restaurants, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -73.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -41.7%, Sharpe 0.44, 60% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=22, slow=73 |
7.9% | -41.7% | 0.44 | 0.19 | 10.9x | 122 | 60% |
| Supertrend period=28, mult=5 |
6.6% | -53.3% | 0.38 | 0.12 | 7.4x | 90 | 56% |
| EMA 크로스오버 fast=39, slow=136 |
6.4% | -46.1% | 0.38 | 0.14 | 6.9x | 57 | 66% |
| Donchian 채널 돌파 entryN=60, exitN=57 |
5.2% | -44.0% | 0.33 | 0.12 | 4.9x | 67 | 61% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
1.9% | -22.0% | 0.30 | 0.09 | 1.8x | 22 | 6% |
| Parabolic SAR step=0.005, maxStep=0.14 |
3.9% | -61.0% | 0.28 | 0.06 | 3.3x | 257 | 56% |
| ROC 모멘텀 n=72, threshold=-0.02 |
0.5% | -84.5% | 0.14 | 0.01 | 1.2x | 369 | 65% |
| MACD fast=16, slow=47, signal=18 |
-0.6% | -71.1% | 0.09 | -0.01 | 0.8x | 385 | 51% |
| ADX / DI 방향성 period=18, threshold=26 |
0.1% | -52.4% | 0.07 | 0.00 | 1.0x | 132 | 16% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=2.4 |
-0.8% | -62.8% | 0.04 | -0.01 | 0.8x | 150 | 38% |
| Buy and hold | 12.0% | -73.2% | 0.50 | 0.16 | 34.9x | 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 22-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 22-day average falls below the 73-day average