Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shake Shack, Inc. backtest
10 trend-following strategies were compared on the full daily history of Shake Shack, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -28.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.7%, drawdown -70.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.6%, MDD -30.3%, Sharpe 0.67, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 10.7%, MDD -28.1%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=2.8 |
13.6% | -30.3% | 0.67 | 0.45 | 4.3x | 20 | 21% |
| Donchian 채널 돌파 entryN=106, exitN=24 |
13.1% | -41.5% | 0.65 | 0.32 | 4.1x | 18 | 23% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=12, mult=4 |
10.7% | -28.1% | 0.55 | 0.38 | 3.2x | 22 | 23% |
| SMA 크로스오버 fast=20, slow=33 |
12.4% | -77.3% | 0.51 | 0.16 | 3.9x | 81 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
12.0% | -56.2% | 0.49 | 0.21 | 3.7x | 97 | 48% |
| ADX / DI 방향성 period=28, threshold=17 |
8.7% | -44.5% | 0.45 | 0.20 | 2.6x | 66 | 31% |
| Supertrend period=25, mult=5 |
8.5% | -66.6% | 0.41 | 0.13 | 2.6x | 34 | 54% |
| MACD fast=22, slow=37, signal=19 |
8.3% | -73.5% | 0.40 | 0.11 | 2.5x | 115 | 51% |
| ROC 모멘텀 n=39, threshold=0.06 |
7.8% | -63.7% | 0.40 | 0.12 | 2.4x | 149 | 40% |
| EMA 크로스오버 fast=51, slow=179 |
3.6% | -53.4% | 0.27 | 0.07 | 1.5x | 14 | 44% |
| Buy and hold | 2.7% | -70.9% | 0.31 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 54-day middle average