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 5.2%, MDD -58.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -86.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -59.2%, Sharpe 0.33, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 5.2%, MDD -58.0%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=218 |
5.5% | -59.2% | 0.33 | 0.09 | 6.5x | 38 | 59% |
| SMA 크로스오버 fast=41, slow=212 |
5.2% | -58.0% | 0.32 | 0.09 | 5.9x | 52 | 58% |
| Donchian 채널 돌파 entryN=97, exitN=77 |
2.6% | -52.2% | 0.23 | 0.05 | 2.5x | 44 | 54% |
| ROC 모멘텀 n=208, threshold=-0.11 |
2.2% | -78.5% | 0.23 | 0.03 | 2.1x | 182 | 72% |
| MACD fast=50, slow=68, signal=28 |
1.7% | -69.4% | 0.20 | 0.03 | 1.8x | 197 | 52% |
| Supertrend period=10, mult=4.7 |
-0.4% | -73.2% | 0.12 | -0.01 | 0.9x | 98 | 53% |
| ADX / DI 방향성 period=39, threshold=18 |
-0.9% | -49.8% | 0.04 | -0.02 | 0.7x | 88 | 19% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
-1.3% | -71.6% | 0.01 | -0.02 | 0.6x | 106 | 25% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=8, mult=4 |
-0.0% | -7.8% | -0.00 | -0.00 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.9% | -94.3% | -0.04 | -0.05 | 0.2x | 282 | 52% |
| Buy and hold | 3.1% | -86.3% | 0.28 | 0.04 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 218-day EMA
- Sell — Sell when the 49-day EMA falls below the 218-day EMA