Trend-Following Backtester · Guide · backtest 한국어
equity · US
Driven Brands Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Driven Brands Holdings Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.4%, MDD -6.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -11.9%, drawdown -70.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -4.8%, MDD -46.4%, Sharpe 0.03, 69% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -0.3%, MDD -6.7%, exposure 2%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR -0.4%, MDD -6.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=26, exitN=79 |
-4.8% | -46.4% | 0.03 | -0.10 | 0.8x | 13 | 69% |
| SMA 크로스오버 fast=40, slow=214 |
-2.5% | -30.4% | -0.03 | -0.08 | 0.9x | 6 | 33% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
-0.3% | -6.7% | -0.06 | -0.04 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=3.3 |
-0.3% | -6.7% | -0.06 | -0.04 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=18, threshold=31 |
-0.4% | -6.4% | -0.13 | -0.06 | 1.0x | 4 | 1% |
| EMA 크로스오버 fast=21, slow=149 |
-9.4% | -50.3% | -0.27 | -0.19 | 0.6x | 13 | 39% |
| MACD fast=10, slow=14, signal=17 |
-10.2% | -62.0% | -0.29 | -0.17 | 0.6x | 110 | 52% |
| ROC 모멘텀 n=81, threshold=-0.04 |
-15.0% | -65.8% | -0.38 | -0.23 | 0.4x | 67 | 54% |
| Supertrend period=7, mult=3.4 |
-17.8% | -75.6% | -0.46 | -0.24 | 0.3x | 35 | 61% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-19.0% | -73.2% | -0.59 | -0.26 | 0.3x | 76 | 48% |
| Buy and hold | -11.9% | -70.1% | -0.05 | -0.17 | 0.5x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 79 days