Trend-Following Backtester · Guide · backtest 한국어

equity · US

Winmark Corporation backtest

10 trend-following strategies were compared on the full daily history of Winmark Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -63.2%).

Data 1993-08-25 ~ 2026-07-31daily bars 8,289 (32.9 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 9.9%, drawdown -85.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -63.2%, Sharpe 0.46, 71% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 9.9%, MDD -63.2%, exposure 71%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=69, exitN=99
9.9%-63.2%0.460.1622.7x3271%
SMA 크로스오버
fast=48, slow=193
7.9%-71.6%0.410.1112.1x4663%
EMA 크로스오버
fast=19, slow=73
6.7%-59.4%0.370.118.4x12060%
ROC 모멘텀
n=94, threshold=-0.04
4.6%-76.6%0.300.064.4x22271%
볼린저 밴드 돌파
n=58, k=1.8
3.5%-72.2%0.260.053.1x16041%
Supertrend
period=25, mult=4.9
3.1%-88.1%0.250.042.7x10456%
Keltner 채널 돌파
emaPeriod=63, atrPeriod=24, mult=2.9
3.0%-57.6%0.240.052.6x12036%
MACD
fast=27, slow=42, signal=13
2.3%-84.1%0.220.032.1x35450%
Parabolic SAR
step=0.005, maxStep=0.3
0.8%-75.9%0.170.011.3x23254%
ADX / DI 방향성
period=26, threshold=39
0.8%-27.5%0.140.031.3x125%
Buy and hold9.9%-85.4%0.430.1222.1x1100%
1x 10x 1994 1999 2004 2009 2014 2019 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -85% 1994 1999 2004 2009 2014 2019 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -63.2% (1994-09-08 → 2000-08-01), recovered after 2,596 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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