Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Aritzia, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aritzia, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 25.9%, MDD -33.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.4%, drawdown -64.8%).
Sharpe leader (same as main): Supertrend — CAGR 25.9%, MDD -33.3%, Sharpe 0.91, 60% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 25.9%, MDD -33.3%, exposure 60%).
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=14, mult=4.8 |
25.9% | -33.3% | 0.91 | 0.78 | 9.8x | 30 | 60% |
| EMA 크로스오버 fast=5, slow=71 |
23.9% | -36.8% | 0.86 | 0.65 | 8.4x | 52 | 58% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
21.1% | -29.5% | 0.85 | 0.71 | 6.7x | 42 | 49% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=1.5 |
19.6% | -28.8% | 0.83 | 0.68 | 5.9x | 56 | 51% |
| ADX / DI 방향성 period=17, threshold=7 |
19.2% | -47.4% | 0.74 | 0.41 | 5.7x | 158 | 57% |
| ROC 모멘텀 n=126, threshold=-0.04 |
20.7% | -43.1% | 0.74 | 0.48 | 6.5x | 49 | 68% |
| SMA 크로스오버 fast=57, slow=164 |
19.9% | -59.5% | 0.70 | 0.33 | 6.0x | 17 | 62% |
| Donchian 채널 돌파 entryN=61, exitN=97 |
19.0% | -53.7% | 0.69 | 0.35 | 5.6x | 11 | 68% |
| Parabolic SAR step=0.01, maxStep=0.28 |
16.0% | -57.7% | 0.65 | 0.28 | 4.4x | 122 | 54% |
| MACD fast=15, slow=41, signal=10 |
11.4% | -64.0% | 0.53 | 0.18 | 2.9x | 148 | 49% |
| Buy and hold | 22.4% | -64.8% | 0.69 | 0.35 | 7.4x | 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) — 14-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)