Trend-Following Backtester · Guide · backtest 한국어
equity · US
US Foods Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of US Foods Holding Corp.. 1 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 15.2%, MDD -51.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.0%, drawdown -77.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -51.4%, Sharpe 0.63, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 25.9%p (CAGR 15.2%, MDD -51.4%, exposure 80%).
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=19, exitN=63 |
15.2% | -51.4% | 0.63 | 0.30 | 4.3x | 25 | 80% |
| ROC 모멘텀 n=97, threshold=-0.03 |
13.3% | -47.5% | 0.62 | 0.28 | 3.6x | 73 | 73% |
| EMA 크로스오버 fast=27, slow=62 |
12.4% | -32.7% | 0.60 | 0.38 | 3.3x | 29 | 66% |
| SMA 크로스오버 fast=15, slow=106 |
10.6% | -31.4% | 0.53 | 0.34 | 2.8x | 33 | 66% |
| Supertrend period=27, mult=4.9 |
11.0% | -40.1% | 0.53 | 0.27 | 2.9x | 31 | 64% |
| 볼린저 밴드 돌파 n=46, k=2.3 |
4.9% | -41.9% | 0.37 | 0.12 | 1.6x | 37 | 37% |
| MACD fast=19, slow=56, signal=19 |
4.6% | -47.2% | 0.31 | 0.10 | 1.6x | 95 | 48% |
| ADX / DI 방향성 period=35, threshold=12 |
3.6% | -48.2% | 0.30 | 0.08 | 1.4x | 71 | 40% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=19, mult=1.5 |
3.5% | -40.8% | 0.28 | 0.09 | 1.4x | 79 | 42% |
| Parabolic SAR step=0.025, maxStep=0.14 |
0.7% | -53.5% | 0.15 | 0.01 | 1.1x | 253 | 56% |
| Buy and hold | 15.0% | -77.3% | 0.55 | 0.19 | 4.2x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 63 days