Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Chefs' Warehouse, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Chefs' Warehouse, Inc.. 2 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 15.7%, MDD -61.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.1%, drawdown -91.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.7%, MDD -61.1%, Sharpe 0.56, 82% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 15.7%, MDD -61.1%, exposure 82%).
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=16, exitN=76 |
15.7% | -61.1% | 0.56 | 0.26 | 9.0x | 39 | 82% |
| ROC 모멘텀 n=113, threshold=-0.08 |
13.3% | -62.5% | 0.52 | 0.21 | 6.6x | 101 | 71% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
4.7% | -19.6% | 0.44 | 0.24 | 2.0x | 11 | 7% |
| Supertrend period=28, mult=2.1 |
8.6% | -64.3% | 0.41 | 0.13 | 3.5x | 151 | 58% |
| MACD fast=8, slow=27, signal=8 |
8.2% | -49.7% | 0.40 | 0.17 | 3.3x | 326 | 51% |
| SMA 크로스오버 fast=15, slow=100 |
7.7% | -62.7% | 0.39 | 0.12 | 3.1x | 55 | 58% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=28, mult=4 |
4.3% | -27.5% | 0.38 | 0.16 | 1.9x | 17 | 10% |
| EMA 크로스오버 fast=39, slow=217 |
5.1% | -73.1% | 0.32 | 0.07 | 2.1x | 23 | 62% |
| ADX / DI 방향성 period=26, threshold=15 |
4.8% | -46.8% | 0.31 | 0.10 | 2.0x | 123 | 38% |
| Parabolic SAR step=0.025, maxStep=0.22 |
4.1% | -58.4% | 0.29 | 0.07 | 1.8x | 369 | 54% |
| Buy and hold | 13.1% | -91.3% | 0.51 | 0.14 | 6.4x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 76 days