Trend-Following Backtester · Guide · backtest 한국어
equity · US
Buckle, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Buckle, Inc. (The). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -77.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -71.7%, Sharpe 0.38, 56% 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=53, slow=66 |
7.3% | -71.7% | 0.38 | 0.10 | 11.2x | 174 | 56% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
4.1% | -36.1% | 0.36 | 0.11 | 4.0x | 36 | 11% |
| Supertrend period=13, mult=3.6 |
6.2% | -75.9% | 0.35 | 0.08 | 7.9x | 184 | 54% |
| Donchian 채널 돌파 entryN=10, exitN=71 |
6.1% | -78.9% | 0.35 | 0.08 | 7.6x | 117 | 84% |
| EMA 크로스오버 fast=36, slow=57 |
4.6% | -84.2% | 0.30 | 0.05 | 4.7x | 110 | 55% |
| ADX / DI 방향성 period=39, threshold=33 |
2.0% | -32.9% | 0.25 | 0.06 | 2.0x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=39, mult=1.9 |
2.9% | -65.5% | 0.24 | 0.04 | 2.6x | 208 | 36% |
| ROC 모멘텀 n=83, threshold=-0.04 |
1.0% | -78.7% | 0.20 | 0.01 | 1.4x | 378 | 63% |
| MACD fast=15, slow=56, signal=11 |
0.7% | -85.4% | 0.18 | 0.01 | 1.3x | 481 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
0.3% | -87.9% | 0.16 | 0.00 | 1.1x | 573 | 52% |
| Buy and hold | 9.4% | -77.7% | 0.43 | 0.12 | 21.9x | 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 53-day average price crosses above the 66-day average
- Sell — Sell (to cash) when the 53-day average falls below the 66-day average