Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Domino's Pizza Group plc backtest
10 trend-following strategies were compared on the full daily history of Domino's Pizza Group plc. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.4%, MDD -36.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -64.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.7%, MDD -14.0%, Sharpe 0.70, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.4%, MDD -36.3%, exposure 63%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p lower than buy and hold, while drawdown improves by 50.0%p (CAGR 14.4%, MDD -36.3%, exposure 63%).
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=21, k=3.5 |
5.7% | -14.0% | 0.70 | 0.41 | 4.4x | 30 | 8% |
| SMA 크로스오버 fast=64, slow=232 |
14.4% | -36.3% | 0.67 | 0.40 | 36.3x | 27 | 63% |
| Donchian 채널 돌파 entryN=27, exitN=16 |
9.7% | -46.6% | 0.53 | 0.21 | 11.8x | 117 | 46% |
| EMA 크로스오버 fast=46, slow=147 |
10.2% | -63.2% | 0.52 | 0.16 | 13.4x | 41 | 63% |
| Supertrend period=18, mult=4.1 |
9.0% | -62.1% | 0.48 | 0.14 | 9.9x | 87 | 57% |
| ROC 모멘텀 n=125, threshold=0.01 |
7.5% | -64.9% | 0.43 | 0.12 | 7.0x | 233 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=3 |
5.0% | -57.4% | 0.37 | 0.09 | 3.7x | 80 | 34% |
| MACD fast=24, slow=48, signal=19 |
2.7% | -65.3% | 0.23 | 0.04 | 2.0x | 245 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.5% | -70.0% | 0.14 | 0.01 | 1.1x | 445 | 53% |
| ADX / DI 방향성 period=12, threshold=25 |
0.1% | -59.4% | 0.10 | 0.00 | 1.0x | 310 | 32% |
| Buy and hold | 12.4% | -64.1% | 0.51 | 0.19 | 22.8x | 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 21-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 21-day middle average