Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wendy's Company (The) backtest
10 trend-following strategies were compared on the full daily history of Wendy's Company (The). 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -35.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.0%, drawdown -91.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -81.7%, Sharpe 0.36, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 9.3%p (CAGR 3.8%, MDD -35.6%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=114 |
6.2% | -81.7% | 0.36 | 0.08 | 16.4x | 67 | 54% |
| ADX / DI 방향성 period=38, threshold=25 |
3.8% | -35.6% | 0.36 | 0.11 | 5.5x | 38 | 8% |
| SMA 크로스오버 fast=20, slow=178 |
5.0% | -83.2% | 0.33 | 0.06 | 9.8x | 99 | 53% |
| Donchian 채널 돌파 entryN=107, exitN=61 |
3.7% | -80.2% | 0.28 | 0.05 | 5.3x | 68 | 42% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=24, mult=4 |
3.6% | -61.1% | 0.27 | 0.06 | 5.2x | 86 | 22% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
2.7% | -64.9% | 0.23 | 0.04 | 3.5x | 110 | 23% |
| Supertrend period=26, mult=5 |
1.5% | -87.9% | 0.23 | 0.02 | 2.0x | 121 | 56% |
| ROC 모멘텀 n=123, threshold=0.03 |
-3.1% | -95.0% | 0.06 | -0.03 | 0.2x | 481 | 47% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.3% | -98.3% | 0.04 | -0.04 | 0.1x | 346 | 49% |
| MACD fast=23, slow=26, signal=18 |
-11.3% | -99.7% | -0.15 | -0.11 | 0.0x | 587 | 50% |
| Buy and hold | 3.0% | -91.1% | 0.31 | 0.03 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 114-day EMA
- Sell — Sell when the 57-day EMA falls below the 114-day EMA