Trend-Following Backtester · Guide · backtest 한국어
equity · US
Yum! Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Yum! Brands, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -36.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -67.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -36.1%, Sharpe 0.54, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 31.5%p (CAGR 9.5%, MDD -36.1%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=191 |
9.5% | -36.1% | 0.54 | 0.26 | 13.8x | 44 | 70% |
| Donchian 채널 돌파 entryN=78, exitN=77 |
6.2% | -36.4% | 0.41 | 0.17 | 5.6x | 47 | 64% |
| EMA 크로스오버 fast=44, slow=146 |
6.5% | -42.4% | 0.40 | 0.15 | 6.2x | 56 | 74% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
2.6% | -22.0% | 0.33 | 0.12 | 2.1x | 64 | 14% |
| Supertrend period=16, mult=5 |
4.2% | -45.5% | 0.30 | 0.09 | 3.3x | 90 | 66% |
| ROC 모멘텀 n=120, threshold=-0.03 |
3.2% | -59.7% | 0.25 | 0.05 | 2.5x | 241 | 76% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=27, mult=3.6 |
0.9% | -17.6% | 0.17 | 0.05 | 1.3x | 34 | 7% |
| MACD fast=16, slow=53, signal=18 |
-2.2% | -65.1% | -0.02 | -0.03 | 0.5x | 336 | 49% |
| ADX / DI 방향성 period=13, threshold=41 |
-0.3% | -19.9% | -0.04 | -0.02 | 0.9x | 56 | 5% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.5% | -88.2% | -0.22 | -0.07 | 0.1x | 525 | 57% |
| Buy and hold | 12.4% | -67.7% | 0.55 | 0.18 | 29.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 51-day average falls below the 191-day average