Trend-Following Backtester · Guide · backtest 한국어
equity · US
Build-A-Bear Workshop, Inc. backtest
10 trend-following strategies were compared on the full daily history of Build-A-Bear Workshop, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.9%, MDD -35.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.4%, drawdown -97.2%).
Sharpe leader (same as main): Supertrend — CAGR 10.2%, MDD -80.1%, Sharpe 0.43, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 17.2%p (CAGR 5.9%, MDD -35.0%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.2 |
10.2% | -80.1% | 0.43 | 0.13 | 8.3x | 78 | 53% |
| Donchian 채널 돌파 entryN=75, exitN=26 |
8.8% | -58.0% | 0.41 | 0.15 | 6.3x | 40 | 28% |
| ADX / DI 방향성 period=32, threshold=21 |
5.9% | -35.0% | 0.36 | 0.17 | 3.5x | 50 | 15% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.1 |
6.5% | -64.2% | 0.35 | 0.10 | 3.9x | 54 | 26% |
| EMA 크로스오버 fast=49, slow=205 |
6.2% | -78.2% | 0.35 | 0.08 | 3.7x | 26 | 46% |
| MACD fast=14, slow=54, signal=16 |
4.6% | -89.7% | 0.32 | 0.05 | 2.7x | 231 | 51% |
| SMA 크로스오버 fast=20, slow=49 |
3.4% | -87.4% | 0.29 | 0.04 | 2.1x | 116 | 51% |
| 볼린저 밴드 돌파 n=42, k=2.1 |
3.2% | -73.7% | 0.26 | 0.04 | 2.0x | 112 | 31% |
| ROC 모멘텀 n=68, threshold=0.14 |
2.3% | -82.9% | 0.24 | 0.03 | 1.7x | 214 | 31% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-5.9% | -93.3% | 0.08 | -0.06 | 0.3x | 347 | 50% |
| Buy and hold | 1.4% | -97.2% | 0.33 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)