Trend-Following Backtester · Guide · backtest 한국어
equity · US
El Pollo Loco Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of El Pollo Loco Holdings, Inc.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -20.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.1%, drawdown -83.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -20.6%, Sharpe 0.18, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 63.0%p (CAGR 0.9%, MDD -20.6%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=27 |
0.9% | -20.6% | 0.18 | 0.05 | 1.1x | 9 | 6% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=2.6 |
0.3% | -43.2% | 0.11 | 0.01 | 1.0x | 37 | 27% |
| EMA 크로스오버 fast=16, slow=210 |
-0.3% | -56.9% | 0.10 | -0.01 | 1.0x | 29 | 36% |
| Donchian 채널 돌파 entryN=118, exitN=35 |
-0.2% | -50.0% | 0.09 | -0.00 | 1.0x | 19 | 24% |
| 볼린저 밴드 돌파 n=61, k=1.7 |
-0.5% | -49.3% | 0.09 | -0.01 | 0.9x | 45 | 34% |
| Supertrend period=23, mult=2.7 |
-2.4% | -72.3% | 0.07 | -0.03 | 0.7x | 84 | 50% |
| SMA 크로스오버 fast=14, slow=167 |
-1.9% | -52.0% | 0.06 | -0.04 | 0.8x | 31 | 41% |
| ROC 모멘텀 n=77, threshold=-0.03 |
-4.2% | -66.5% | -0.01 | -0.06 | 0.6x | 109 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-7.2% | -84.0% | -0.09 | -0.09 | 0.4x | 97 | 50% |
| MACD fast=15, slow=36, signal=18 |
-9.0% | -82.9% | -0.16 | -0.11 | 0.3x | 158 | 51% |
| Buy and hold | -3.1% | -83.6% | 0.15 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)