Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sprouts Farmers Market, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sprouts Farmers Market, Inc.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.7%, MDD -26.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.6%, drawdown -72.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.7%, MDD -26.5%, Sharpe 0.59, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.7%, MDD -48.3%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 5.7%, MDD -26.5%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=50, threshold=25 |
5.7% | -26.5% | 0.59 | 0.22 | 2.1x | 6 | 8% |
| SMA 크로스오버 fast=53, slow=85 |
9.6% | -49.1% | 0.49 | 0.20 | 3.3x | 34 | 53% |
| Donchian 채널 돌파 entryN=66, exitN=72 |
9.7% | -48.3% | 0.48 | 0.20 | 3.3x | 19 | 52% |
| 볼린저 밴드 돌파 n=32, k=2.1 |
7.1% | -34.4% | 0.45 | 0.21 | 2.4x | 72 | 34% |
| EMA 크로스오버 fast=10, slow=209 |
8.3% | -49.9% | 0.45 | 0.17 | 2.9x | 26 | 48% |
| ROC 모멘텀 n=59, threshold=0.04 |
7.8% | -48.2% | 0.43 | 0.16 | 2.7x | 118 | 45% |
| Supertrend period=9, mult=4.7 |
7.3% | -52.0% | 0.40 | 0.14 | 2.5x | 37 | 54% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=15, mult=3 |
5.0% | -49.3% | 0.39 | 0.10 | 1.9x | 38 | 23% |
| Parabolic SAR step=0.01, maxStep=0.2 |
3.5% | -64.0% | 0.26 | 0.05 | 1.6x | 169 | 50% |
| MACD fast=31, slow=54, signal=22 |
2.7% | -62.9% | 0.23 | 0.04 | 1.4x | 103 | 51% |
| Buy and hold | 5.6% | -72.9% | 0.34 | 0.08 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 50-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)