Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ross Stores, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ross Stores, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.5%, MDD -49.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.8%, drawdown -82.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.5%, MDD -49.5%, Sharpe 0.66, 64% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.0%, MDD -58.7%, exposure 83%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 32.8%p (CAGR 15.5%, MDD -49.5%, exposure 64%).
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=11, slow=126 |
15.5% | -49.5% | 0.66 | 0.31 | 365.6x | 105 | 64% |
| Donchian 채널 돌파 entryN=11, exitN=49 |
17.0% | -58.7% | 0.62 | 0.29 | 629.7x | 137 | 83% |
| Supertrend period=18, mult=4.2 |
14.6% | -52.1% | 0.62 | 0.28 | 268.1x | 152 | 61% |
| EMA 크로스오버 fast=17, slow=128 |
13.7% | -48.5% | 0.60 | 0.28 | 192.1x | 95 | 65% |
| ROC 모멘텀 n=107, threshold=-0.04 |
13.1% | -61.2% | 0.57 | 0.21 | 158.1x | 309 | 70% |
| ADX / DI 방향성 period=27, threshold=29 |
5.1% | -31.3% | 0.50 | 0.16 | 7.7x | 52 | 9% |
| 볼린저 밴드 돌파 n=56, k=1 |
8.3% | -58.8% | 0.44 | 0.14 | 26.5x | 264 | 53% |
| Parabolic SAR step=0.005, maxStep=0.12 |
8.5% | -63.7% | 0.43 | 0.13 | 28.2x | 340 | 58% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=1.5 |
6.5% | -57.5% | 0.38 | 0.11 | 13.4x | 340 | 45% |
| MACD fast=17, slow=58, signal=19 |
5.3% | -64.3% | 0.32 | 0.08 | 8.5x | 442 | 51% |
| Buy and hold | 15.8% | -82.2% | 0.56 | 0.19 | 409.9x | 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 11-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 11-day average falls below the 126-day average