Trend-Following Backtester · Guide · backtest 한국어
equity · US
Red Robin Gourmet Burgers, Inc. backtest
10 trend-following strategies were compared on the full daily history of Red Robin Gourmet Burgers, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.7%, MDD -30.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.8%, drawdown -97.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.7%, MDD -30.8%, Sharpe 0.57, 14% exposure.
CAGR reference leader: MACD — CAGR 9.2%, MDD -81.1%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR 8.7%, MDD -30.8%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3.3 |
8.7% | -30.8% | 0.57 | 0.28 | 7.4x | 23 | 14% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=3.9 |
8.6% | -52.2% | 0.49 | 0.16 | 7.2x | 45 | 20% |
| Donchian 채널 돌파 entryN=110, exitN=9 |
7.5% | -44.6% | 0.49 | 0.17 | 5.7x | 61 | 16% |
| MACD fast=18, slow=33, signal=18 |
9.2% | -81.1% | 0.41 | 0.11 | 8.3x | 266 | 53% |
| Supertrend period=9, mult=2.4 |
4.3% | -86.5% | 0.29 | 0.05 | 2.7x | 209 | 51% |
| ROC 모멘텀 n=28, threshold=0.05 |
4.2% | -75.2% | 0.28 | 0.06 | 2.7x | 427 | 41% |
| SMA 크로스오버 fast=8, slow=157 |
3.6% | -84.2% | 0.27 | 0.04 | 2.3x | 83 | 47% |
| ADX / DI 방향성 period=25, threshold=19 |
3.2% | -63.2% | 0.25 | 0.05 | 2.1x | 125 | 24% |
| Parabolic SAR step=0.02, maxStep=0.16 |
1.4% | -91.8% | 0.23 | 0.02 | 1.4x | 495 | 52% |
| EMA 크로스오버 fast=8, slow=95 |
0.2% | -85.1% | 0.18 | 0.00 | 1.1x | 103 | 48% |
| Buy and hold | -1.8% | -97.2% | 0.26 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 52-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 52-day middle average