Trend-Following Backtester · Guide · backtest 한국어
equity · US
Unifirst Corporation backtest
10 trend-following strategies were compared on the full daily history of Unifirst Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -50.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -74.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -50.6%, Sharpe 0.44, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 24.0%p (CAGR 7.9%, MDD -50.6%, exposure 65%).
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=54, exitN=68 |
7.9% | -50.6% | 0.44 | 0.16 | 25.3x | 83 | 65% |
| Keltner 채널 돌파 emaPeriod=104, atrPeriod=15, mult=2.2 |
5.6% | -64.5% | 0.38 | 0.09 | 10.1x | 159 | 49% |
| SMA 크로스오버 fast=32, slow=67 |
6.0% | -69.6% | 0.37 | 0.09 | 12.1x | 157 | 57% |
| ROC 모멘텀 n=151, threshold=0.04 |
5.8% | -50.8% | 0.37 | 0.11 | 11.2x | 279 | 55% |
| ADX / DI 방향성 period=24, threshold=29 |
3.2% | -31.6% | 0.36 | 0.10 | 3.8x | 86 | 14% |
| Supertrend period=25, mult=4.9 |
4.7% | -77.3% | 0.32 | 0.06 | 7.2x | 187 | 57% |
| EMA 크로스오버 fast=35, slow=121 |
4.1% | -56.8% | 0.29 | 0.07 | 5.5x | 93 | 61% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
2.4% | -40.5% | 0.24 | 0.06 | 2.8x | 93 | 24% |
| MACD fast=18, slow=51, signal=14 |
2.2% | -77.0% | 0.21 | 0.03 | 2.5x | 526 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.7% | -66.2% | 0.18 | 0.02 | 2.0x | 342 | 54% |
| Buy and hold | 9.8% | -74.6% | 0.45 | 0.13 | 54.7x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 68 days