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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 32.3%, MDD -39.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 20.0%, drawdown -83.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 32.3%, MDD -44.7%, Sharpe 0.95, 57% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 32.3%, MDD -39.0%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 32.3%, MDD -39.0%, exposure 61%).
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=4, slow=119 |
32.3% | -44.7% | 0.95 | 0.72 | 26.9x | 40 | 57% |
| EMA 크로스오버 fast=36, slow=61 |
32.3% | -39.0% | 0.93 | 0.83 | 26.9x | 24 | 61% |
| Donchian 채널 돌파 entryN=40, exitN=67 |
32.2% | -43.5% | 0.88 | 0.74 | 26.5x | 19 | 68% |
| Supertrend period=29, mult=4.1 |
31.2% | -47.9% | 0.87 | 0.65 | 24.4x | 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 |
24.5% | -45.1% | 0.77 | 0.54 | 13.1x | 48 | 60% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=22, mult=1.7 |
20.7% | -42.7% | 0.72 | 0.48 | 9.1x | 54 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
22.1% | -69.0% | 0.70 | 0.32 | 10.4x | 203 | 53% |
| ADX / DI 방향성 period=36, threshold=8 |
20.4% | -63.8% | 0.67 | 0.32 | 8.9x | 122 | 61% |
| MACD fast=16, slow=43, signal=11 |
18.7% | -60.7% | 0.63 | 0.31 | 7.5x | 178 | 49% |
| Buy and hold | 20.0% | -83.7% | 0.61 | 0.24 | 8.5x | 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 4-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 4-day average falls below the 119-day average