Trend-Following Backtester · Guide · backtest 한국어
equity · US
Texas Roadhouse, Inc. backtest
10 trend-following strategies were compared on the full daily history of Texas Roadhouse, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.9%, drawdown -76.6%).
Sharpe leader (same as main): Supertrend — CAGR 7.8%, MDD -66.7%, Sharpe 0.43, 62% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=5 |
7.8% | -66.7% | 0.43 | 0.12 | 5.1x | 51 | 62% |
| SMA 크로스오버 fast=23, slow=60 |
6.5% | -61.0% | 0.38 | 0.11 | 4.0x | 91 | 58% |
| EMA 크로스오버 fast=31, slow=55 |
5.9% | -59.0% | 0.36 | 0.10 | 3.5x | 69 | 59% |
| ROC 모멘텀 n=194, threshold=-0.05 |
5.7% | -47.9% | 0.34 | 0.12 | 3.3x | 113 | 72% |
| Donchian 채널 돌파 entryN=29, exitN=61 |
4.6% | -71.4% | 0.30 | 0.06 | 2.7x | 55 | 70% |
| ADX / DI 방향성 period=32, threshold=17 |
1.9% | -43.6% | 0.20 | 0.04 | 1.5x | 81 | 21% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
0.6% | -49.4% | 0.13 | 0.01 | 1.1x | 133 | 45% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=11, mult=1.8 |
0.3% | -49.1% | 0.10 | 0.01 | 1.1x | 134 | 36% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.6% | -67.0% | 0.06 | -0.02 | 0.7x | 192 | 53% |
| MACD fast=13, slow=43, signal=17 |
-4.8% | -79.5% | -0.09 | -0.06 | 0.3x | 312 | 48% |
| Buy and hold | 13.9% | -76.6% | 0.54 | 0.18 | 17.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)