Trend-Following Backtester · Guide · backtest 한국어
equity · US
Advance Auto Parts Inc. backtest
10 trend-following strategies were compared on the full daily history of Advance Auto Parts Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.5%, MDD -46.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.8%, drawdown -87.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -71.3%, Sharpe 0.49, 71% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 7.5%, MDD -46.1%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=26, exitN=55 |
10.8% | -71.3% | 0.49 | 0.15 | 12.6x | 57 | 71% |
| SMA 크로스오버 fast=12, slow=56 |
7.8% | -55.3% | 0.43 | 0.14 | 6.3x | 122 | 57% |
| Supertrend period=10, mult=5 |
7.5% | -46.1% | 0.43 | 0.16 | 5.9x | 69 | 54% |
| MACD fast=25, slow=42, signal=28 |
7.6% | -58.4% | 0.40 | 0.13 | 6.1x | 188 | 50% |
| ADX / DI 방향성 period=36, threshold=16 |
5.1% | -32.0% | 0.40 | 0.16 | 3.4x | 94 | 28% |
| EMA 크로스오버 fast=38, slow=70 |
5.5% | -52.7% | 0.34 | 0.11 | 3.8x | 59 | 60% |
| ROC 모멘텀 n=44, threshold=-0.05 |
5.2% | -79.7% | 0.32 | 0.07 | 3.5x | 257 | 71% |
| 볼린저 밴드 돌파 n=57, k=2.5 |
2.7% | -46.2% | 0.25 | 0.06 | 1.9x | 70 | 29% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=18, mult=2 |
2.3% | -48.8% | 0.21 | 0.05 | 1.8x | 124 | 40% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.8% | -51.1% | 0.20 | 0.04 | 1.6x | 220 | 54% |
| Buy and hold | 5.8% | -87.5% | 0.34 | 0.07 | 4.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 26 days
- Sell — Sell when price breaks below the lowest low of the last 55 days