Trend-Following Backtester · Guide · backtest 한국어
equity · US
AutoZone, Inc. backtest
10 trend-following strategies were compared on the full daily history of AutoZone, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.6%, drawdown -46.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -48.1%, Sharpe 0.52, 67% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.6%, MDD -68.1%, exposure 88%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=54, exitN=60 |
9.4% | -48.1% | 0.52 | 0.20 | 23.8x | 72 | 67% |
| ROC 모멘텀 n=145, threshold=-0.11 |
10.6% | -68.1% | 0.52 | 0.16 | 35.5x | 142 | 88% |
| EMA 크로스오버 fast=40, slow=80 |
9.3% | -64.2% | 0.52 | 0.15 | 23.3x | 86 | 69% |
| SMA 크로스오버 fast=37, slow=191 |
8.7% | -63.3% | 0.49 | 0.14 | 19.0x | 58 | 70% |
| 볼린저 밴드 돌파 n=50, k=3.3 |
3.0% | -25.2% | 0.42 | 0.12 | 2.8x | 18 | 8% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=2.3 |
5.5% | -61.2% | 0.39 | 0.09 | 6.7x | 178 | 46% |
| MACD fast=30, slow=62, signal=25 |
6.0% | -49.2% | 0.39 | 0.12 | 7.9x | 271 | 53% |
| Supertrend period=20, mult=5 |
6.0% | -67.4% | 0.38 | 0.09 | 7.8x | 120 | 63% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.6% | -57.8% | 0.36 | 0.10 | 6.8x | 306 | 59% |
| ADX / DI 방향성 period=38, threshold=23 |
0.9% | -36.5% | 0.15 | 0.02 | 1.4x | 34 | 8% |
| Buy and hold | 18.6% | -46.3% | 0.72 | 0.40 | 408.7x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 60 days