Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Eagle Outfitters, Inc. backtest
10 trend-following strategies were compared on the full daily history of American Eagle Outfitters, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.0%, MDD -45.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.5%, drawdown -80.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.2%, MDD -64.5%, Sharpe 0.77, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR 15.0%, MDD -45.9%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=87, k=1.2 |
22.2% | -64.5% | 0.77 | 0.34 | 660.1x | 86 | 42% |
| Donchian 채널 돌파 entryN=56, exitN=51 |
21.1% | -59.3% | 0.71 | 0.36 | 488.3x | 58 | 48% |
| ROC 모멘텀 n=72, threshold=0.05 |
19.5% | -55.4% | 0.68 | 0.35 | 322.5x | 269 | 47% |
| SMA 크로스오버 fast=26, slow=75 |
19.0% | -69.3% | 0.65 | 0.27 | 276.0x | 113 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=12, mult=2.6 |
15.0% | -45.9% | 0.62 | 0.33 | 92.6x | 108 | 34% |
| EMA 크로스오버 fast=10, slow=73 |
17.1% | -70.8% | 0.62 | 0.24 | 166.1x | 142 | 51% |
| Supertrend period=42, mult=4.7 |
14.9% | -65.2% | 0.57 | 0.23 | 89.3x | 94 | 47% |
| ADX / DI 방향성 period=37, threshold=12 |
14.3% | -58.3% | 0.57 | 0.24 | 75.2x | 222 | 40% |
| MACD fast=17, slow=32, signal=10 |
6.0% | -95.2% | 0.34 | 0.06 | 6.5x | 488 | 52% |
| Parabolic SAR step=0.01, maxStep=0.22 |
3.1% | -97.0% | 0.27 | 0.03 | 2.7x | 456 | 51% |
| Buy and hold | 9.5% | -80.7% | 0.44 | 0.12 | 18.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 87-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 87-day middle average