Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nathan's Famous, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nathan's Famous, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -76.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -70.9%, Sharpe 0.34, 51% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=121, exitN=69 |
5.6% | -70.9% | 0.34 | 0.08 | 6.1x | 30 | 51% |
| SMA 크로스오버 fast=43, slow=173 |
4.1% | -76.8% | 0.28 | 0.05 | 3.8x | 59 | 60% |
| EMA 크로스오버 fast=17, slow=147 |
2.7% | -83.5% | 0.23 | 0.03 | 2.4x | 84 | 60% |
| Supertrend period=19, mult=4.4 |
2.0% | -90.5% | 0.21 | 0.02 | 1.9x | 82 | 61% |
| 볼린저 밴드 돌파 n=100, k=2.5 |
0.9% | -62.9% | 0.14 | 0.01 | 1.3x | 64 | 30% |
| ADX / DI 방향성 period=38, threshold=18 |
0.2% | -64.5% | 0.10 | 0.00 | 1.1x | 106 | 23% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.0% | -92.4% | 0.07 | -0.02 | 0.5x | 246 | 52% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=29, mult=2.2 |
-3.1% | -91.5% | -0.05 | -0.03 | 0.3x | 148 | 28% |
| ROC 모멘텀 n=135, threshold=0.04 |
-6.1% | -93.0% | -0.10 | -0.07 | 0.1x | 425 | 52% |
| MACD fast=18, slow=52, signal=17 |
-9.3% | -98.4% | -0.20 | -0.09 | 0.0x | 414 | 48% |
| Buy and hold | 6.9% | -76.2% | 0.37 | 0.09 | 9.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 121 days
- Sell — Sell when price breaks below the lowest low of the last 69 days