Trend-Following Backtester · Guide · backtest 한국어
equity · US
Capri Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Capri Holdings Limited. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.2%, MDD -11.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.0%, drawdown -92.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.2%, MDD -11.8%, Sharpe 0.64, 6% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 7.4%, MDD -29.0%, exposure 13%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 80.6%p (CAGR 6.2%, MDD -11.8%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=13, threshold=44 |
6.2% | -11.8% | 0.64 | 0.53 | 2.4x | 18 | 6% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
7.4% | -29.0% | 0.60 | 0.26 | 2.9x | 14 | 13% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=14, mult=4 |
3.3% | -16.8% | 0.49 | 0.20 | 1.6x | 14 | 7% |
| ROC 모멘텀 n=135, threshold=0.14 |
7.1% | -44.2% | 0.41 | 0.16 | 2.8x | 94 | 34% |
| EMA 크로스오버 fast=43, slow=104 |
2.9% | -75.1% | 0.26 | 0.04 | 1.5x | 22 | 46% |
| SMA 크로스오버 fast=22, slow=143 |
1.6% | -76.7% | 0.22 | 0.02 | 1.3x | 30 | 47% |
| Donchian 채널 돌파 entryN=36, exitN=53 |
0.6% | -80.6% | 0.20 | 0.01 | 1.1x | 40 | 50% |
| Supertrend period=14, mult=3 |
-1.3% | -80.7% | 0.15 | -0.02 | 0.8x | 100 | 51% |
| MACD fast=9, slow=49, signal=17 |
-2.2% | -65.5% | 0.11 | -0.03 | 0.7x | 208 | 48% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.9% | -84.9% | 0.04 | -0.05 | 0.6x | 244 | 50% |
| Buy and hold | -4.0% | -92.5% | 0.19 | -0.04 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 13-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)