Trend-Following Backtester · Guide · backtest 한국어
equity · US
G-III Apparel Group, LTD. backtest
10 trend-following strategies were compared on the full daily history of G-III Apparel Group, LTD.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 5.5%, drawdown -93.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -76.1%, Sharpe 0.42, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=33, slow=156 |
9.4% | -76.1% | 0.42 | 0.12 | 27.2x | 67 | 55% |
| EMA 크로스오버 fast=37, slow=150 |
6.4% | -77.7% | 0.35 | 0.08 | 9.7x | 63 | 55% |
| Donchian 채널 돌파 entryN=10, exitN=76 |
5.4% | -88.0% | 0.35 | 0.06 | 6.8x | 117 | 86% |
| MACD fast=38, slow=51, signal=53 |
7.6% | -76.6% | 0.34 | 0.10 | 14.9x | 196 | 53% |
| ROC 모멘텀 n=147, threshold=0.1 |
3.2% | -90.1% | 0.28 | 0.04 | 3.2x | 277 | 48% |
| Supertrend period=9, mult=4.7 |
1.3% | -92.3% | 0.25 | 0.01 | 1.6x | 131 | 60% |
| ADX / DI 방향성 period=37, threshold=18 |
2.9% | -71.6% | 0.24 | 0.04 | 2.8x | 108 | 22% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-1.1% | -91.7% | 0.21 | -0.01 | 0.7x | 546 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=2.9 |
-4.1% | -94.6% | 0.03 | -0.04 | 0.2x | 132 | 31% |
| 볼린저 밴드 돌파 n=58, k=2.4 |
-4.3% | -94.9% | 0.03 | -0.05 | 0.2x | 118 | 29% |
| Buy and hold | 5.5% | -93.9% | 0.39 | 0.06 | 7.2x | 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 33-day average price crosses above the 156-day average
- Sell — Sell (to cash) when the 33-day average falls below the 156-day average