Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dollar General Corporation backtest
10 trend-following strategies were compared on the full daily history of Dollar General Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.2%, MDD -29.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -73.7%).
Sharpe leader (same as main): Supertrend — CAGR 9.2%, MDD -29.1%, Sharpe 0.54, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.2%, MDD -39.8%, exposure 81%.
Return/drawdown alternative: Supertrend — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 44.6%p (CAGR 9.2%, MDD -29.1%, exposure 62%).
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=10, mult=3.8 |
9.2% | -29.1% | 0.54 | 0.32 | 4.4x | 73 | 62% |
| ROC 모멘텀 n=78, threshold=-0.09 |
10.2% | -39.8% | 0.52 | 0.26 | 5.1x | 97 | 81% |
| EMA 크로스오버 fast=36, slow=168 |
8.9% | -32.8% | 0.50 | 0.27 | 4.2x | 22 | 69% |
| SMA 크로스오버 fast=53, slow=92 |
8.2% | -37.5% | 0.48 | 0.22 | 3.7x | 44 | 63% |
| Donchian 채널 돌파 entryN=15, exitN=64 |
8.9% | -42.6% | 0.47 | 0.21 | 4.2x | 45 | 82% |
| 볼린저 밴드 돌파 n=56, k=0.7 |
2.8% | -49.1% | 0.24 | 0.06 | 1.6x | 133 | 54% |
| ADX / DI 방향성 period=27, threshold=9 |
2.6% | -50.5% | 0.23 | 0.05 | 1.5x | 223 | 58% |
| Parabolic SAR step=0.015, maxStep=0.08 |
0.8% | -64.7% | 0.15 | 0.01 | 1.1x | 246 | 55% |
| MACD fast=14, slow=54, signal=11 |
0.6% | -62.3% | 0.14 | 0.01 | 1.1x | 227 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=27, mult=0.9 |
0.7% | -45.7% | 0.13 | 0.02 | 1.1x | 169 | 53% |
| Buy and hold | 10.8% | -73.7% | 0.50 | 0.15 | 5.6x | 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) — 10-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)