Trend-Following Backtester · Guide · backtest 한국어
equity · US
Krispy Kreme, Inc. backtest
10 trend-following strategies were compared on the full daily history of Krispy Kreme, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.8%, MDD -9.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.6%, drawdown -87.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -2.2%, MDD -41.7%, Sharpe 0.10, 35% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.8%, MDD -9.1%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 29.4%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR -0.8%, MDD -9.1%, exposure 1%).
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=77, slow=101 |
-2.2% | -41.7% | 0.10 | -0.05 | 0.9x | 16 | 35% |
| ADX / DI 방향성 period=18, threshold=38 |
-0.8% | -9.1% | -0.15 | -0.09 | 1.0x | 6 | 1% |
| Supertrend period=28, mult=2.4 |
-10.2% | -49.8% | -0.15 | -0.20 | 0.6x | 46 | 43% |
| ROC 모멘텀 n=34, threshold=0.1 |
-9.7% | -56.6% | -0.27 | -0.17 | 0.6x | 72 | 20% |
| Donchian 채널 돌파 entryN=21, exitN=18 |
-14.3% | -65.7% | -0.31 | -0.22 | 0.4x | 26 | 37% |
| 볼린저 밴드 돌파 n=30, k=2.9 |
-6.9% | -38.1% | -0.32 | -0.18 | 0.7x | 8 | 6% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-18.9% | -76.7% | -0.33 | -0.25 | 0.3x | 120 | 44% |
| MACD fast=10, slow=43, signal=14 |
-24.8% | -82.5% | -0.42 | -0.30 | 0.2x | 82 | 51% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=21, mult=4 |
-3.8% | -18.4% | -0.49 | -0.21 | 0.8x | 2 | 1% |
| EMA 크로스오버 fast=10, slow=195 |
-8.8% | -44.4% | -0.55 | -0.20 | 0.6x | 8 | 15% |
| Buy and hold | -31.6% | -87.8% | -0.38 | -0.36 | 0.1x | 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 77-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 77-day average falls below the 101-day average