Trend-Following Backtester · Guide · backtest 한국어
equity · US
McDonald's Corporation backtest
10 trend-following strategies were compared on the full daily history of McDonald's Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -74.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -62.3%, Sharpe 0.52, 63% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.1%, MDD -65.2%, exposure 87%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=55, exitN=53 |
8.2% | -62.3% | 0.52 | 0.13 | 85.7x | 118 | 63% |
| ROC 모멘텀 n=138, threshold=-0.1 |
9.1% | -65.2% | 0.51 | 0.14 | 137.7x | 258 | 87% |
| EMA 크로스오버 fast=45, slow=311 |
8.7% | -51.6% | 0.51 | 0.17 | 111.7x | 46 | 77% |
| SMA 크로스오버 fast=22, slow=230 |
7.3% | -57.8% | 0.46 | 0.13 | 54.7x | 104 | 69% |
| 볼린저 밴드 돌파 n=89, k=1.4 |
5.2% | -52.6% | 0.40 | 0.10 | 17.6x | 218 | 50% |
| Supertrend period=17, mult=5 |
5.4% | -64.6% | 0.38 | 0.08 | 19.5x | 184 | 60% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=18, mult=2.4 |
3.5% | -46.7% | 0.30 | 0.07 | 7.0x | 256 | 45% |
| MACD fast=24, slow=44, signal=60 |
3.7% | -62.2% | 0.29 | 0.06 | 7.6x | 375 | 51% |
| ADX / DI 방향성 period=24, threshold=38 |
0.7% | -10.4% | 0.27 | 0.07 | 1.5x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.1 |
3.3% | -58.2% | 0.27 | 0.06 | 6.4x | 476 | 57% |
| Buy and hold | 12.4% | -74.4% | 0.57 | 0.17 | 739.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 55 days
- Sell — Sell when price breaks below the lowest low of the last 53 days