Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kura Sushi USA, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kura Sushi USA, Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 31.0%, MDD -40.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.9%, drawdown -81.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 37.4%, MDD -48.0%, Sharpe 0.91, 41% exposure.
CAGR reference leader: MACD — CAGR 39.8%, MDD -45.9%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.5%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 31.0%, MDD -40.2%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=28, threshold=0.08 |
37.4% | -48.0% | 0.91 | 0.78 | 9.2x | 110 | 41% |
| MACD fast=23, slow=47, signal=23 |
39.8% | -45.9% | 0.90 | 0.87 | 10.4x | 52 | 49% |
| Supertrend period=17, mult=4.5 |
37.1% | -53.8% | 0.84 | 0.69 | 9.1x | 18 | 58% |
| 볼린저 밴드 돌파 n=32, k=1.3 |
31.0% | -40.2% | 0.81 | 0.77 | 6.6x | 48 | 40% |
| SMA 크로스오버 fast=14, slow=43 |
32.7% | -43.6% | 0.80 | 0.75 | 7.2x | 42 | 54% |
| Donchian 채널 돌파 entryN=15, exitN=45 |
23.6% | -59.7% | 0.65 | 0.39 | 4.4x | 27 | 72% |
| EMA 크로스오버 fast=18, slow=53 |
19.8% | -50.5% | 0.60 | 0.39 | 3.6x | 28 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=1.9 |
12.0% | -47.9% | 0.48 | 0.25 | 2.2x | 34 | 38% |
| ADX / DI 방향성 period=33, threshold=13 |
10.2% | -55.5% | 0.44 | 0.18 | 2.0x | 58 | 40% |
| Parabolic SAR step=0.035, maxStep=0.26 |
9.2% | -69.8% | 0.43 | 0.13 | 1.8x | 203 | 49% |
| Buy and hold | 12.9% | -81.7% | 0.54 | 0.16 | 2.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 28-day return is greater than 8%
- Sell — Sell when the 28-day return drops to 8% or below