Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aramark backtest
10 trend-following strategies were compared on the full daily history of Aramark. 0 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 8.5%, MDD -36.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -72.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -36.4%, Sharpe 0.46, 74% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 35.9%p (CAGR 8.5%, MDD -36.4%, exposure 74%).
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=30, exitN=55 |
8.5% | -36.4% | 0.46 | 0.23 | 2.8x | 27 | 74% |
| SMA 크로스오버 fast=27, slow=99 |
6.4% | -33.6% | 0.41 | 0.19 | 2.2x | 35 | 60% |
| Supertrend period=19, mult=4.3 |
6.4% | -38.7% | 0.39 | 0.16 | 2.2x | 43 | 61% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=28, mult=3.1 |
1.3% | -8.9% | 0.31 | 0.15 | 1.2x | 8 | 3% |
| EMA 크로스오버 fast=30, slow=73 |
3.5% | -46.7% | 0.27 | 0.07 | 1.5x | 41 | 63% |
| ROC 모멘텀 n=87, threshold=-0.04 |
2.7% | -58.0% | 0.23 | 0.05 | 1.4x | 105 | 73% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.5% | -46.1% | 0.13 | 0.01 | 1.1x | 177 | 56% |
| MACD fast=19, slow=72, signal=18 |
0.4% | -48.5% | 0.12 | 0.01 | 1.0x | 134 | 50% |
| ADX / DI 방향성 period=20, threshold=17 |
-0.4% | -36.6% | 0.05 | -0.01 | 0.9x | 115 | 37% |
| 볼린저 밴드 돌파 n=44, k=2.1 |
-1.0% | -44.3% | 0.02 | -0.02 | 0.9x | 67 | 34% |
| Buy and hold | 10.2% | -72.3% | 0.45 | 0.14 | 3.4x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 55 days