Trend-Following Backtester · Guide · backtest 한국어
equity · US
Boot Barn Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Boot Barn Holdings, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 32.1%, MDD -39.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 19.9%, drawdown -83.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 32.1%, MDD -39.0%, Sharpe 0.93, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 32.1%, MDD -39.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=61 |
32.1% | -39.0% | 0.93 | 0.82 | 26.9x | 24 | 60% |
| SMA 크로스오버 fast=4, slow=119 |
31.0% | -44.7% | 0.92 | 0.69 | 24.5x | 42 | 57% |
| Donchian 채널 돌파 entryN=40, exitN=67 |
32.0% | -43.5% | 0.87 | 0.74 | 26.8x | 19 | 68% |
| Supertrend period=29, mult=4.1 |
31.1% | -47.9% | 0.87 | 0.65 | 24.6x | 37 | 62% |
| 볼린저 밴드 돌파 n=18, k=2.9 |
12.3% | -21.6% | 0.78 | 0.57 | 3.9x | 30 | 12% |
| ROC 모멘텀 n=114, threshold=-0.01 |
24.2% | -45.1% | 0.76 | 0.54 | 12.9x | 50 | 60% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=22, mult=1.7 |
20.5% | -42.7% | 0.72 | 0.48 | 9.1x | 54 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
22.5% | -69.0% | 0.71 | 0.33 | 11.0x | 204 | 53% |
| ADX / DI 방향성 period=36, threshold=8 |
20.3% | -63.8% | 0.67 | 0.32 | 9.0x | 124 | 61% |
| MACD fast=16, slow=43, signal=11 |
17.9% | -60.7% | 0.61 | 0.30 | 7.0x | 180 | 49% |
| Buy and hold | 19.9% | -83.7% | 0.61 | 0.24 | 8.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 61-day EMA
- Sell — Sell when the 36-day EMA falls below the 61-day EMA