Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chewy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Chewy, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.3%, MDD -19.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -87.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.4%, MDD -40.9%, Sharpe 0.68, 29% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 23.4%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 2.3%, MDD -19.6%, exposure 2%).
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=148, exitN=52 |
17.4% | -40.9% | 0.68 | 0.43 | 3.1x | 4 | 29% |
| ROC 모멘텀 n=87, threshold=0.12 |
16.5% | -49.9% | 0.61 | 0.33 | 3.0x | 74 | 34% |
| SMA 크로스오버 fast=23, slow=152 |
13.2% | -55.0% | 0.51 | 0.24 | 2.4x | 18 | 44% |
| EMA 크로스오버 fast=6, slow=183 |
9.5% | -64.7% | 0.43 | 0.15 | 1.9x | 18 | 42% |
| Parabolic SAR step=0.015, maxStep=0.42 |
6.5% | -56.8% | 0.36 | 0.11 | 1.6x | 129 | 47% |
| MACD fast=10, slow=54, signal=9 |
6.1% | -57.8% | 0.35 | 0.11 | 1.5x | 113 | 49% |
| Supertrend period=24, mult=1.5 |
4.3% | -49.6% | 0.31 | 0.09 | 1.4x | 113 | 46% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
2.3% | -19.6% | 0.28 | 0.12 | 1.2x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=1.2 |
3.6% | -59.2% | 0.28 | 0.06 | 1.3x | 41 | 38% |
| ADX / DI 방향성 period=33, threshold=14 |
1.1% | -45.6% | 0.19 | 0.02 | 1.1x | 38 | 27% |
| Buy and hold | -6.0% | -87.4% | 0.20 | -0.07 | 0.6x | 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 148 days
- Sell — Sell when price breaks below the lowest low of the last 52 days