Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Cheesecake Factory Incorporated backtest
10 trend-following strategies were compared on the full daily history of The Cheesecake Factory Incorporated. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.5%, MDD -53.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.4%, drawdown -86.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -53.4%, Sharpe 0.48, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.2%, MDD -64.7%, exposure 83%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 10.5%, MDD -53.4%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=78 |
10.5% | -53.4% | 0.48 | 0.20 | 29.3x | 111 | 58% |
| Donchian 채널 돌파 entryN=26, exitN=102 |
11.2% | -64.7% | 0.47 | 0.17 | 36.2x | 55 | 83% |
| EMA 크로스오버 fast=45, slow=91 |
6.3% | -54.3% | 0.35 | 0.12 | 7.9x | 85 | 61% |
| Supertrend period=13, mult=4.9 |
6.1% | -66.1% | 0.35 | 0.09 | 7.4x | 91 | 58% |
| ROC 모멘텀 n=116, threshold=-0.04 |
0.8% | -74.6% | 0.18 | 0.01 | 1.3x | 319 | 66% |
| MACD fast=17, slow=46, signal=29 |
-0.1% | -72.9% | 0.14 | -0.00 | 1.0x | 323 | 52% |
| ADX / DI 방향성 period=39, threshold=18 |
0.9% | -56.5% | 0.13 | 0.02 | 1.3x | 63 | 13% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
0.6% | -60.4% | 0.12 | 0.01 | 1.2x | 47 | 13% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=2.3 |
-0.9% | -73.9% | 0.08 | -0.01 | 0.7x | 161 | 36% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.3% | -86.9% | 0.03 | -0.04 | 0.3x | 297 | 54% |
| Buy and hold | 10.4% | -86.2% | 0.44 | 0.12 | 28.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 78-day average
- Sell — Sell (to cash) when the 45-day average falls below the 78-day average