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 Keltner 채널 돌파 (CAGR -3.9%, MDD -18.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.1%, drawdown -87.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -6.2%, MDD -39.4%, Sharpe -0.02, 36% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -2.6%, MDD -22.2%, exposure 1%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 48.4%p (CAGR -3.9%, MDD -18.4%, 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=73, slow=105 |
-6.2% | -39.4% | -0.02 | -0.16 | 0.7x | 15 | 36% |
| Supertrend period=9, mult=1.6 |
-14.9% | -58.8% | -0.24 | -0.25 | 0.4x | 78 | 44% |
| Parabolic SAR step=0.07, maxStep=0.18 |
-18.1% | -78.0% | -0.27 | -0.23 | 0.4x | 181 | 44% |
| 볼린저 밴드 돌파 n=30, k=3 |
-7.2% | -38.1% | -0.33 | -0.19 | 0.7x | 8 | 6% |
| ROC 모멘텀 n=105, threshold=0.2 |
-5.7% | -32.5% | -0.33 | -0.18 | 0.7x | 20 | 7% |
| ADX / DI 방향성 period=36, threshold=29 |
-2.6% | -22.2% | -0.36 | -0.12 | 0.9x | 2 | 1% |
| Donchian 채널 돌파 entryN=21, exitN=63 |
-20.3% | -74.5% | -0.37 | -0.27 | 0.3x | 15 | 58% |
| MACD fast=11, slow=61, signal=9 |
-25.1% | -81.3% | -0.42 | -0.31 | 0.2x | 84 | 51% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=15, mult=3.8 |
-3.9% | -18.4% | -0.50 | -0.21 | 0.8x | 2 | 1% |
| EMA 크로스오버 fast=9, slow=205 |
-9.8% | -46.3% | -0.61 | -0.21 | 0.6x | 8 | 15% |
| Buy and hold | -31.1% | -87.8% | -0.36 | -0.35 | 0.2x | 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 73-day average price crosses above the 105-day average
- Sell — Sell (to cash) when the 73-day average falls below the 105-day average