Trend-Following Backtester · Guide · backtest 한국어
equity · US
Best Buy Co., Inc. backtest
10 trend-following strategies were compared on the full daily history of Best Buy Co., Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 16.3%, drawdown -80.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.7%, MDD -72.8%, Sharpe 0.67, 54% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=22, slow=52 |
18.7% | -72.8% | 0.67 | 0.26 | 1201.8x | 195 | 54% |
| MACD fast=18, slow=58, signal=31 |
17.5% | -69.5% | 0.64 | 0.25 | 781.8x | 351 | 53% |
| 볼린저 밴드 돌파 n=41, k=0.8 |
16.5% | -67.8% | 0.63 | 0.24 | 544.7x | 359 | 48% |
| Donchian 채널 돌파 entryN=17, exitN=22 |
16.6% | -72.2% | 0.61 | 0.23 | 576.8x | 241 | 59% |
| EMA 크로스오버 fast=20, slow=56 |
15.3% | -75.4% | 0.59 | 0.20 | 350.7x | 157 | 55% |
| Supertrend period=14, mult=3.7 |
15.0% | -66.7% | 0.58 | 0.22 | 320.4x | 225 | 51% |
| ROC 모멘텀 n=28, threshold=0.07 |
12.5% | -68.3% | 0.55 | 0.18 | 129.0x | 633 | 37% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=1.3 |
12.8% | -71.6% | 0.54 | 0.18 | 145.2x | 313 | 45% |
| ADX / DI 방향성 period=20, threshold=12 |
9.4% | -92.4% | 0.44 | 0.10 | 40.2x | 577 | 49% |
| Parabolic SAR step=0.015, maxStep=0.32 |
2.8% | -97.7% | 0.26 | 0.03 | 3.2x | 711 | 52% |
| Buy and hold | 16.3% | -80.9% | 0.56 | 0.20 | 515.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 22-day average price crosses above the 52-day average
- Sell — Sell (to cash) when the 22-day average falls below the 52-day average