Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dutch Bros Inc. backtest
10 trend-following strategies were compared on the full daily history of Dutch Bros Inc.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.0%, MDD -14.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.9%, drawdown -70.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.6%, MDD -15.7%, Sharpe 0.68, 9% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 4.0%, MDD -14.3%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=3.9 |
11.6% | -15.7% | 0.68 | 0.74 | 1.7x | 4 | 9% |
| ADX / DI 방향성 period=29, threshold=35 |
4.0% | -14.3% | 0.48 | 0.28 | 1.2x | 6 | 3% |
| Supertrend period=14, mult=1.7 |
9.5% | -53.6% | 0.42 | 0.18 | 1.6x | 72 | 46% |
| ROC 모멘텀 n=175, threshold=0.06 |
8.8% | -39.8% | 0.41 | 0.22 | 1.5x | 22 | 33% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
5.2% | -24.5% | 0.37 | 0.21 | 1.3x | 4 | 7% |
| MACD fast=18, slow=43, signal=7 |
6.6% | -43.2% | 0.35 | 0.15 | 1.4x | 62 | 50% |
| Donchian 채널 돌파 entryN=107, exitN=73 |
2.7% | -54.6% | 0.25 | 0.05 | 1.1x | 4 | 35% |
| SMA 크로스오버 fast=50, slow=216 |
2.4% | -60.2% | 0.24 | 0.04 | 1.1x | 6 | 37% |
| EMA 크로스오버 fast=58, slow=206 |
0.7% | -60.4% | 0.20 | 0.01 | 1.0x | 6 | 38% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-3.3% | -51.3% | 0.13 | -0.06 | 0.8x | 82 | 49% |
| Buy and hold | 0.9% | -70.1% | 0.33 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 22-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 22-day average