Trend-Following Backtester · Guide · backtest 한국어
equity · US
BJ's Restaurants, Inc. backtest
10 trend-following strategies were compared on the full daily history of BJ's Restaurants, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.6%, MDD -70.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.4%, drawdown -91.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.6%, MDD -70.8%, Sharpe 0.46, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 10.6%, MDD -70.8%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=196 |
10.6% | -70.8% | 0.46 | 0.15 | 20.0x | 33 | 54% |
| Donchian 채널 돌파 entryN=25, exitN=97 |
9.8% | -71.9% | 0.43 | 0.14 | 16.4x | 59 | 76% |
| SMA 크로스오버 fast=49, slow=218 |
9.3% | -75.4% | 0.42 | 0.12 | 14.1x | 43 | 56% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=16, mult=3.9 |
5.7% | -44.9% | 0.37 | 0.13 | 5.2x | 57 | 19% |
| MACD fast=21, slow=93, signal=41 |
6.3% | -72.6% | 0.35 | 0.09 | 6.2x | 177 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.9% | -71.9% | 0.29 | 0.05 | 3.1x | 231 | 52% |
| Supertrend period=26, mult=4.7 |
3.0% | -70.1% | 0.26 | 0.04 | 2.4x | 97 | 55% |
| 볼린저 밴드 돌파 n=41, k=3.4 |
2.7% | -45.7% | 0.24 | 0.06 | 2.2x | 42 | 11% |
| ROC 모멘텀 n=148, threshold=-0.04 |
0.6% | -88.0% | 0.20 | 0.01 | 1.2x | 305 | 60% |
| ADX / DI 방향성 period=32, threshold=31 |
0.5% | -30.4% | 0.11 | 0.02 | 1.2x | 9 | 2% |
| Buy and hold | 8.4% | -91.4% | 0.43 | 0.09 | 11.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 196-day EMA
- Sell — Sell when the 59-day EMA falls below the 196-day EMA