Trend-Following Backtester · Guide · backtest 한국어
equity · US
Domino's Pizza Inc backtest
10 trend-following strategies were compared on the full daily history of Domino's Pizza Inc. 1 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 16.5%, MDD -64.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.7%, drawdown -91.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -64.1%, Sharpe 0.66, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 16.5%, MDD -64.1%, exposure 81%).
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=46 |
16.5% | -64.1% | 0.66 | 0.26 | 29.3x | 67 | 81% |
| Supertrend period=19, mult=3.5 |
13.6% | -46.7% | 0.65 | 0.29 | 16.9x | 103 | 59% |
| EMA 크로스오버 fast=51, slow=112 |
14.0% | -53.8% | 0.64 | 0.26 | 18.2x | 30 | 67% |
| SMA 크로스오버 fast=21, slow=203 |
13.3% | -58.4% | 0.61 | 0.23 | 15.9x | 32 | 66% |
| ROC 모멘텀 n=123, threshold=0.01 |
12.3% | -54.5% | 0.58 | 0.23 | 13.1x | 146 | 63% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.8% | -57.1% | 0.47 | 0.16 | 6.5x | 192 | 57% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
8.3% | -50.6% | 0.47 | 0.16 | 5.8x | 162 | 52% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=20, mult=2.1 |
6.4% | -31.5% | 0.40 | 0.20 | 3.9x | 122 | 46% |
| ADX / DI 방향성 period=16, threshold=19 |
2.8% | -41.7% | 0.24 | 0.07 | 1.8x | 273 | 38% |
| MACD fast=15, slow=33, signal=21 |
1.4% | -67.1% | 0.18 | 0.02 | 1.4x | 270 | 49% |
| Buy and hold | 15.7% | -91.6% | 0.59 | 0.17 | 25.2x | 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 46 days