Trend-Following Backtester · Guide · backtest 한국어
equity · US
FirstCash Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of FirstCash Holdings, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.6%, MDD -60.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.9%, drawdown -90.3%).
Sharpe leader (same as main): Supertrend — CAGR 14.6%, MDD -60.8%, Sharpe 0.59, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 14.6%, MDD -60.8%, exposure 58%).
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=3.9 |
14.6% | -60.8% | 0.59 | 0.24 | 119.8x | 113 | 58% |
| EMA 크로스오버 fast=119, slow=170 |
13.8% | -59.4% | 0.56 | 0.23 | 94.6x | 29 | 69% |
| SMA 크로스오버 fast=59, slow=284 |
12.6% | -54.3% | 0.53 | 0.23 | 64.9x | 41 | 66% |
| Donchian 채널 돌파 entryN=21, exitN=63 |
11.8% | -69.2% | 0.49 | 0.17 | 50.2x | 91 | 77% |
| ROC 모멘텀 n=178, threshold=-0.12 |
10.4% | -85.5% | 0.46 | 0.12 | 33.1x | 181 | 79% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.1 |
7.4% | -49.6% | 0.44 | 0.15 | 12.2x | 96 | 32% |
| ADX / DI 방향성 period=36, threshold=22 |
4.2% | -45.2% | 0.35 | 0.09 | 4.2x | 46 | 11% |
| Parabolic SAR step=0.015, maxStep=0.02 |
6.2% | -66.8% | 0.35 | 0.09 | 8.3x | 219 | 58% |
| MACD fast=42, slow=68, signal=35 |
4.8% | -91.1% | 0.31 | 0.05 | 5.3x | 210 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
4.0% | -85.0% | 0.28 | 0.05 | 4.0x | 211 | 47% |
| Buy and hold | 15.9% | -90.3% | 0.55 | 0.18 | 182.9x | 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, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)