Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dollar Tree, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dollar Tree, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -67.1%).
Sharpe leader (same as main): Supertrend — CAGR 11.7%, MDD -53.3%, Sharpe 0.53, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.3%, MDD -62.0%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=3.7 |
11.7% | -53.3% | 0.53 | 0.22 | 32.1x | 143 | 61% |
| ROC 모멘텀 Hold-like · Exposure 96% n=4, threshold=-0.08 |
13.3% | -62.0% | 0.52 | 0.21 | 49.8x | 303 | 96% |
| EMA 크로스오버 fast=19, slow=32 |
9.2% | -60.7% | 0.45 | 0.15 | 15.9x | 169 | 61% |
| SMA 크로스오버 fast=41, slow=207 |
9.0% | -73.5% | 0.43 | 0.12 | 14.9x | 45 | 63% |
| Donchian 채널 돌파 entryN=13, exitN=68 |
9.1% | -74.6% | 0.43 | 0.12 | 15.2x | 91 | 84% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
5.9% | -53.2% | 0.36 | 0.11 | 6.1x | 151 | 46% |
| Parabolic SAR step=0.005, maxStep=0.28 |
6.0% | -59.5% | 0.35 | 0.10 | 6.2x | 269 | 57% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=21, mult=2.7 |
4.6% | -49.0% | 0.34 | 0.09 | 4.1x | 122 | 30% |
| MACD fast=17, slow=26, signal=33 |
4.3% | -67.9% | 0.29 | 0.06 | 3.8x | 334 | 52% |
| ADX / DI 방향성 period=39, threshold=14 |
3.6% | -66.7% | 0.28 | 0.05 | 3.0x | 171 | 35% |
| Buy and hold | 16.1% | -67.1% | 0.57 | 0.24 | 108.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)