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.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.1%, MDD -32.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.6%, drawdown -87.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -71.3%, Sharpe 0.45, 71% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 5.1%, MDD -32.0%, exposure 28%).
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 |
9.5% | -71.3% | 0.45 | 0.13 | 9.6x | 58 | 71% |
| SMA 크로스오버 fast=12, slow=56 |
7.8% | -55.3% | 0.43 | 0.14 | 6.3x | 122 | 57% |
| 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% |
| Supertrend period=10, mult=5 |
6.2% | -56.3% | 0.38 | 0.11 | 4.5x | 70 | 54% |
| ROC 모멘텀 n=44, threshold=-0.05 |
4.6% | -79.8% | 0.30 | 0.06 | 3.0x | 262 | 71% |
| EMA 크로스오버 fast=38, slow=70 |
4.4% | -57.6% | 0.30 | 0.08 | 2.9x | 60 | 61% |
| 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 |
0.4% | -63.9% | 0.14 | 0.01 | 1.1x | 222 | 54% |
| Buy and hold | 4.6% | -87.5% | 0.31 | 0.05 | 3.0x | 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