Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dine Brands Global, Inc. Common Stock backtest
10 trend-following strategies were compared on the full daily history of Dine Brands Global, Inc. Common Stock. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -92.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -75.7%, Sharpe 0.37, 77% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=31, exitN=102 |
7.2% | -75.7% | 0.37 | 0.10 | 11.6x | 61 | 77% |
| ROC 모멘텀 n=152, threshold=0.04 |
2.7% | -60.7% | 0.23 | 0.04 | 2.5x | 253 | 50% |
| SMA 크로스오버 fast=49, slow=88 |
1.9% | -79.4% | 0.21 | 0.02 | 2.0x | 105 | 55% |
| EMA 크로스오버 fast=59, slow=224 |
1.9% | -77.8% | 0.21 | 0.02 | 2.0x | 37 | 60% |
| 볼린저 밴드 돌파 n=31, k=1.9 |
1.3% | -69.9% | 0.17 | 0.02 | 1.6x | 232 | 33% |
| ADX / DI 방향성 period=13, threshold=33 |
0.9% | -54.0% | 0.13 | 0.02 | 1.4x | 174 | 15% |
| Supertrend period=9, mult=2.7 |
-0.7% | -92.0% | 0.12 | -0.01 | 0.8x | 285 | 51% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=9, mult=2.6 |
-0.0% | -68.1% | 0.10 | -0.00 | 1.0x | 157 | 29% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-3.7% | -91.9% | 0.06 | -0.04 | 0.3x | 741 | 51% |
| MACD fast=12, slow=27, signal=12 |
-4.0% | -95.8% | 0.04 | -0.04 | 0.2x | 594 | 49% |
| Buy and hold | 5.8% | -92.0% | 0.35 | 0.06 | 7.2x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 102 days