Trend-Following Backtester · Guide · backtest 한국어
equity · US
Planet Fitness, Inc. backtest
10 trend-following strategies were compared on the full daily history of Planet Fitness, Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.9%, MDD -36.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.1%, drawdown -68.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.7%, MDD -37.5%, Sharpe 0.64, 65% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 12.9%, MDD -36.5%, exposure 60%).
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=18, exitN=25 |
15.7% | -37.5% | 0.64 | 0.42 | 5.0x | 40 | 65% |
| Supertrend period=15, mult=4.2 |
12.9% | -36.5% | 0.58 | 0.35 | 3.8x | 36 | 60% |
| EMA 크로스오버 fast=9, slow=127 |
11.2% | -52.0% | 0.51 | 0.21 | 3.2x | 36 | 64% |
| ROC 모멘텀 n=146, threshold=-0.05 |
11.6% | -48.5% | 0.51 | 0.24 | 3.4x | 70 | 71% |
| SMA 크로스오버 fast=20, slow=65 |
10.9% | -39.8% | 0.51 | 0.27 | 3.1x | 40 | 58% |
| ADX / DI 방향성 period=45, threshold=15 |
5.7% | -20.1% | 0.43 | 0.28 | 1.8x | 40 | 26% |
| MACD fast=29, slow=52, signal=31 |
6.8% | -50.3% | 0.38 | 0.14 | 2.1x | 77 | 51% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=12, mult=4 |
4.9% | -30.4% | 0.37 | 0.16 | 1.7x | 22 | 29% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
3.5% | -27.7% | 0.32 | 0.13 | 1.5x | 24 | 18% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.5% | -54.8% | 0.23 | 0.05 | 1.3x | 88 | 56% |
| Buy and hold | 11.1% | -68.7% | 0.46 | 0.16 | 3.2x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 25 days