Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chipotle Mexican Grill, Inc. backtest
10 trend-following strategies were compared on the full daily history of Chipotle Mexican Grill, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 19.6%, MDD -40.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.0%, drawdown -74.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.6%, MDD -40.1%, Sharpe 0.81, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 34.5%p (CAGR 19.6%, MDD -40.1%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=8, slow=175 |
19.6% | -40.1% | 0.81 | 0.49 | 39.0x | 50 | 63% |
| SMA 크로스오버 fast=41, slow=212 |
18.2% | -50.2% | 0.75 | 0.36 | 30.8x | 20 | 65% |
| Supertrend period=15, mult=4.4 |
17.9% | -47.9% | 0.75 | 0.37 | 29.1x | 77 | 60% |
| ROC 모멘텀 n=101, threshold=0.06 |
14.9% | -39.9% | 0.69 | 0.37 | 17.2x | 148 | 54% |
| Donchian 채널 돌파 entryN=153, exitN=53 |
13.8% | -42.4% | 0.69 | 0.33 | 14.3x | 32 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=1.5 |
12.3% | -43.7% | 0.60 | 0.28 | 10.7x | 131 | 53% |
| ADX / DI 방향성 period=29, threshold=16 |
9.7% | -48.2% | 0.57 | 0.20 | 6.6x | 130 | 36% |
| 볼린저 밴드 돌파 n=56, k=1.4 |
10.3% | -38.1% | 0.55 | 0.27 | 7.4x | 109 | 46% |
| Parabolic SAR step=0.015, maxStep=0.06 |
10.0% | -59.3% | 0.49 | 0.17 | 7.0x | 261 | 57% |
| MACD fast=17, slow=72, signal=16 |
6.7% | -69.3% | 0.38 | 0.10 | 3.8x | 207 | 52% |
| Buy and hold | 20.0% | -74.6% | 0.67 | 0.27 | 42.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 175-day EMA
- Sell — Sell when the 8-day EMA falls below the 175-day EMA