Trend-Following Backtester · Guide · backtest 한국어
equity · US
Costco Wholesale Corporation backtest
10 trend-following strategies were compared on the full daily history of Costco Wholesale Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -61.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -66.9%, Sharpe 0.39, 80% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=14, exitN=50 |
7.1% | -66.9% | 0.39 | 0.11 | 15.4x | 133 | 80% |
| EMA 크로스오버 fast=31, slow=64 |
6.5% | -44.4% | 0.39 | 0.15 | 12.6x | 120 | 66% |
| SMA 크로스오버 fast=17, slow=112 |
6.4% | -49.6% | 0.39 | 0.13 | 11.9x | 114 | 66% |
| ROC 모멘텀 n=135, threshold=-0.04 |
5.8% | -50.3% | 0.35 | 0.12 | 9.7x | 241 | 77% |
| Supertrend period=18, mult=5 |
4.0% | -61.5% | 0.29 | 0.06 | 4.7x | 124 | 60% |
| MACD fast=16, slow=55, signal=12 |
0.8% | -76.0% | 0.14 | 0.01 | 1.4x | 525 | 51% |
| 볼린저 밴드 돌파 n=54, k=0.9 |
0.6% | -64.0% | 0.13 | 0.01 | 1.3x | 316 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=1.9 |
0.3% | -62.9% | 0.11 | 0.00 | 1.1x | 254 | 46% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.9% | -81.8% | 0.07 | -0.01 | 0.7x | 348 | 56% |
| ADX / DI 방향성 period=37, threshold=33 |
0.0% | -7.7% | 0.01 | 0.00 | 1.0x | 6 | 1% |
| Buy and hold | 11.8% | -61.7% | 0.51 | 0.19 | 86.1x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 50 days