Trend-Following Backtester · Guide · backtest 한국어
equity · US
Monro, Inc. backtest
10 trend-following strategies were compared on the full daily history of Monro, Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -50.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.4%, drawdown -87.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -62.7%, Sharpe 0.38, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 6.5%, MDD -50.3%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=284 |
6.8% | -62.7% | 0.38 | 0.11 | 10.2x | 30 | 60% |
| SMA 크로스오버 fast=50, slow=254 |
6.5% | -50.3% | 0.37 | 0.13 | 9.2x | 40 | 57% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
2.0% | -89.0% | 0.26 | 0.02 | 2.0x | 23 | 100% |
| Donchian 채널 돌파 entryN=28, exitN=77 |
3.0% | -69.3% | 0.25 | 0.04 | 2.8x | 73 | 72% |
| MACD fast=41, slow=77, signal=30 |
1.4% | -71.7% | 0.19 | 0.02 | 1.6x | 201 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=9, mult=4 |
0.9% | -45.7% | 0.13 | 0.02 | 1.3x | 36 | 10% |
| Supertrend period=10, mult=4.9 |
-0.9% | -77.4% | 0.11 | -0.01 | 0.7x | 96 | 56% |
| ADX / DI 방향성 period=37, threshold=20 |
-0.8% | -55.9% | 0.04 | -0.01 | 0.8x | 70 | 16% |
| 볼린저 밴드 돌파 n=60, k=2.8 |
-1.0% | -70.2% | 0.02 | -0.01 | 0.7x | 76 | 21% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.9% | -94.7% | -0.04 | -0.05 | 0.2x | 283 | 52% |
| Buy and hold | 3.4% | -87.4% | 0.29 | 0.04 | 3.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 284-day EMA
- Sell — Sell when the 40-day EMA falls below the 284-day EMA