Trend-Following Backtester · Guide · backtest 한국어
equity · US
Restaurant Brands International Inc. backtest
10 trend-following strategies were compared on the full daily history of Restaurant Brands International Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.8%, MDD -29.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -64.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -29.9%, Sharpe 0.37, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 34.1%p (CAGR 4.8%, MDD -29.9%, exposure 54%).
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=27, slow=185 |
4.8% | -29.9% | 0.37 | 0.16 | 1.7x | 19 | 54% |
| EMA 크로스오버 fast=49, slow=122 |
4.0% | -28.9% | 0.32 | 0.14 | 1.6x | 21 | 57% |
| ADX / DI 방향성 period=38, threshold=25 |
0.7% | -4.5% | 0.24 | 0.16 | 1.1x | 4 | 2% |
| Donchian 채널 돌파 entryN=12, exitN=102 |
2.9% | -41.2% | 0.24 | 0.07 | 1.4x | 29 | 86% |
| Supertrend period=17, mult=3.4 |
2.6% | -39.3% | 0.23 | 0.07 | 1.4x | 62 | 59% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
0.6% | -6.5% | 0.21 | 0.10 | 1.1x | 2 | 3% |
| ROC 모멘텀 n=114, threshold=-0.01 |
-1.1% | -44.4% | 0.02 | -0.02 | 0.9x | 93 | 59% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=25, mult=4 |
-0.0% | -13.6% | 0.01 | -0.00 | 1.0x | 8 | 6% |
| MACD fast=21, slow=42, signal=20 |
-3.9% | -55.7% | -0.15 | -0.07 | 0.6x | 129 | 48% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-5.5% | -54.2% | -0.19 | -0.10 | 0.5x | 224 | 52% |
| Buy and hold | 6.2% | -64.0% | 0.35 | 0.10 | 2.0x | 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 27-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 27-day average falls below the 185-day average