Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dick's Sporting Goods Inc backtest
10 trend-following strategies were compared on the full daily history of Dick's Sporting Goods Inc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.6%, MDD -47.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.8%, drawdown -73.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -47.3%, Sharpe 0.57, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 26.0%p (CAGR 13.6%, MDD -47.3%, exposure 69%).
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=50, exitN=73 |
13.6% | -47.3% | 0.57 | 0.29 | 21.2x | 42 | 69% |
| SMA 크로스오버 fast=48, slow=114 |
12.3% | -50.6% | 0.54 | 0.24 | 15.9x | 48 | 61% |
| EMA 크로스오버 fast=63, slow=77 |
10.1% | -62.7% | 0.47 | 0.16 | 9.9x | 52 | 67% |
| Supertrend period=24, mult=2.6 |
9.1% | -53.0% | 0.45 | 0.17 | 8.0x | 190 | 58% |
| ADX / DI 방향성 period=46, threshold=16 |
6.0% | -35.2% | 0.43 | 0.17 | 4.0x | 70 | 21% |
| ROC 모멘텀 n=108, threshold=0.01 |
8.3% | -65.1% | 0.42 | 0.13 | 6.7x | 218 | 63% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
4.7% | -27.4% | 0.40 | 0.17 | 3.0x | 30 | 18% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=2.2 |
5.5% | -53.4% | 0.34 | 0.10 | 3.6x | 112 | 44% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.2% | -66.5% | 0.25 | 0.05 | 2.1x | 216 | 55% |
| MACD fast=15, slow=31, signal=14 |
-0.1% | -63.8% | 0.13 | -0.00 | 1.0x | 336 | 49% |
| Buy and hold | 16.8% | -73.3% | 0.58 | 0.23 | 40.9x | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 73 days