Trend-Following Backtester · Guide · backtest 한국어
equity · US
Floor & Decor Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Floor & Decor Holdings, Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.0%, MDD -33.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -69.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.0%, MDD -33.7%, Sharpe 0.45, 43% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 9.0%, MDD -33.7%, exposure 43%).
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 n=135, threshold=0.1 |
9.0% | -33.7% | 0.45 | 0.27 | 2.2x | 60 | 43% |
| MACD fast=11, slow=32, signal=11 |
8.6% | -63.1% | 0.41 | 0.14 | 2.2x | 148 | 50% |
| Donchian 채널 돌파 entryN=20, exitN=63 |
8.1% | -56.4% | 0.39 | 0.14 | 2.1x | 21 | 77% |
| EMA 크로스오버 fast=22, slow=25 |
6.2% | -49.5% | 0.35 | 0.12 | 1.8x | 56 | 55% |
| Supertrend period=10, mult=3.5 |
4.1% | -42.3% | 0.28 | 0.10 | 1.5x | 51 | 51% |
| SMA 크로스오버 fast=8, slow=52 |
3.7% | -53.3% | 0.27 | 0.07 | 1.4x | 62 | 54% |
| ADX / DI 방향성 period=33, threshold=28 |
0.2% | -1.0% | 0.17 | 0.17 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.8% | -78.1% | 0.14 | -0.01 | 0.9x | 132 | 51% |
| 볼린저 밴드 돌파 n=21, k=2 |
-0.4% | -52.9% | 0.11 | -0.01 | 1.0x | 84 | 33% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=25, mult=1.4 |
-2.9% | -61.1% | 0.00 | -0.05 | 0.8x | 100 | 34% |
| Buy and hold | 4.9% | -69.7% | 0.34 | 0.07 | 1.6x | 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 135-day return is greater than 10%
- Sell — Sell when the 135-day return drops to 10% or below