Trend-Following Backtester · Guide · backtest 한국어
equity · US
Crocs, Inc. backtest
10 trend-following strategies were compared on the full daily history of Crocs, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.1%, MDD -61.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.9%, drawdown -98.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.1%, MDD -81.0%, Sharpe 0.83, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 30.8%, MDD -71.2%, exposure 65%.
Return/drawdown alternative: Supertrend — CAGR is 19.2%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 28.1%, MDD -61.7%, exposure 57%).
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=38, slow=120 |
30.1% | -81.0% | 0.83 | 0.37 | 223.2x | 33 | 57% |
| Donchian 채널 돌파 entryN=48, exitN=75 |
30.8% | -71.2% | 0.82 | 0.43 | 248.9x | 33 | 65% |
| Supertrend period=13, mult=5 |
28.1% | -61.7% | 0.80 | 0.45 | 161.8x | 51 | 57% |
| EMA 크로스오버 fast=28, slow=48 |
28.2% | -73.4% | 0.80 | 0.38 | 165.6x | 61 | 59% |
| ROC 모멘텀 n=83, threshold=0.1 |
25.6% | -76.8% | 0.77 | 0.33 | 108.4x | 151 | 48% |
| ADX / DI 방향성 period=41, threshold=11 |
21.5% | -78.1% | 0.70 | 0.27 | 54.6x | 150 | 48% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=23, mult=1.5 |
18.3% | -76.2% | 0.63 | 0.24 | 31.6x | 132 | 47% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
15.6% | -77.7% | 0.58 | 0.20 | 19.8x | 116 | 46% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-1.1% | -95.9% | 0.22 | -0.01 | 0.8x | 275 | 52% |
| MACD fast=14, slow=24, signal=9 |
-11.5% | -98.9% | 0.02 | -0.12 | 0.1x | 392 | 53% |
| Buy and hold | 10.9% | -98.7% | 0.50 | 0.11 | 8.4x | 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 38-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 38-day average falls below the 120-day average