Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wingstop Inc. backtest
10 trend-following strategies were compared on the full daily history of Wingstop Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.4%, MDD -41.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.0%, drawdown -74.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.7%, MDD -14.9%, Sharpe 0.78, 10% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.9%, MDD -56.5%, exposure 73%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 59.6%p (CAGR 16.4%, MDD -41.5%, exposure 64%).
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=40, k=3.4 |
7.7% | -14.9% | 0.78 | 0.52 | 2.3x | 10 | 10% |
| ROC 모멘텀 n=137, threshold=-0.08 |
18.9% | -56.5% | 0.68 | 0.33 | 7.0x | 34 | 73% |
| Donchian 채널 돌파 entryN=35, exitN=45 |
16.5% | -55.0% | 0.64 | 0.30 | 5.6x | 28 | 63% |
| EMA 크로스오버 fast=10, slow=113 |
16.4% | -41.5% | 0.63 | 0.40 | 5.5x | 36 | 64% |
| SMA 크로스오버 fast=17, slow=96 |
16.3% | -46.2% | 0.62 | 0.35 | 5.5x | 32 | 60% |
| ADX / DI 방향성 period=32, threshold=33 |
3.2% | -9.9% | 0.61 | 0.32 | 1.4x | 2 | 2% |
| Supertrend period=18, mult=4.2 |
15.2% | -54.8% | 0.61 | 0.28 | 4.9x | 40 | 59% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=1.4 |
11.1% | -41.8% | 0.53 | 0.26 | 3.2x | 66 | 48% |
| MACD fast=24, slow=58, signal=9 |
6.2% | -43.6% | 0.35 | 0.14 | 2.0x | 126 | 48% |
| Parabolic SAR step=0.01, maxStep=0.3 |
3.7% | -65.4% | 0.27 | 0.06 | 1.5x | 162 | 55% |
| Buy and hold | 12.0% | -74.5% | 0.47 | 0.16 | 3.6x | 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 40-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 40-day middle average