Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dave & Buster's Entertainment, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dave & Buster's Entertainment, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.2%, MDD -26.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.9%, drawdown -93.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -50.2%, Sharpe 0.40, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 4.2%, MDD -26.4%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=5, slow=28 |
8.4% | -50.2% | 0.40 | 0.17 | 2.6x | 126 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=31 |
7.6% | -53.5% | 0.38 | 0.14 | 2.4x | 54 | 61% |
| ADX / DI 방향성 period=37, threshold=22 |
4.2% | -26.4% | 0.37 | 0.16 | 1.6x | 16 | 14% |
| ROC 모멘텀 n=28, threshold=-0.04 |
6.3% | -55.2% | 0.35 | 0.11 | 2.0x | 194 | 61% |
| Supertrend period=6, mult=4.5 |
5.3% | -71.6% | 0.33 | 0.07 | 1.8x | 43 | 50% |
| 볼린저 밴드 돌파 n=31, k=1.6 |
4.6% | -51.1% | 0.30 | 0.09 | 1.7x | 80 | 36% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=23, mult=3.8 |
3.9% | -42.0% | 0.30 | 0.09 | 1.6x | 28 | 20% |
| EMA 크로스오버 fast=10, slow=24 |
3.9% | -54.9% | 0.29 | 0.07 | 1.6x | 98 | 50% |
| MACD fast=14, slow=43, signal=14 |
2.4% | -66.4% | 0.27 | 0.04 | 1.3x | 153 | 51% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-2.3% | -71.0% | 0.15 | -0.03 | 0.8x | 162 | 50% |
| Buy and hold | -3.9% | -93.3% | 0.26 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 5-day average price crosses above the 28-day average
- Sell — Sell (to cash) when the 5-day average falls below the 28-day average