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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -28.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.5%, drawdown -70.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.0%, MDD -41.5%, Sharpe 0.65, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.3%, MDD -77.3%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 10.6%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=106, exitN=24 |
13.0% | -41.5% | 0.65 | 0.31 | 4.1x | 18 | 23% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
12.7% | -30.3% | 0.63 | 0.42 | 4.0x | 21 | 21% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=12, mult=4 |
10.6% | -28.1% | 0.55 | 0.38 | 3.2x | 22 | 23% |
| SMA 크로스오버 fast=20, slow=33 |
13.3% | -77.3% | 0.53 | 0.17 | 4.2x | 81 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
12.8% | -56.2% | 0.51 | 0.23 | 4.0x | 97 | 48% |
| MACD fast=22, slow=37, signal=19 |
9.1% | -73.5% | 0.42 | 0.12 | 2.7x | 115 | 51% |
| ROC 모멘텀 n=39, threshold=0.06 |
8.6% | -63.7% | 0.42 | 0.13 | 2.6x | 149 | 40% |
| ADX / DI 방향성 period=28, threshold=17 |
7.8% | -44.5% | 0.42 | 0.18 | 2.4x | 67 | 31% |
| Supertrend period=25, mult=5 |
7.7% | -66.6% | 0.39 | 0.12 | 2.4x | 35 | 54% |
| EMA 크로스오버 fast=51, slow=179 |
3.5% | -53.4% | 0.26 | 0.07 | 1.5x | 14 | 43% |
| Buy and hold | 3.5% | -70.9% | 0.33 | 0.05 | 1.5x | 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 106 days
- Sell — Sell when price breaks below the lowest low of the last 24 days