Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dillard's, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dillard's, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.3%, MDD -65.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.2%, drawdown -94.5%).
Sharpe leader (same as main): Supertrend — CAGR 14.3%, MDD -70.6%, Sharpe 0.58, 53% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 14.3%, MDD -65.1%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 23.9%p (CAGR 14.3%, MDD -65.1%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=4.8 |
14.3% | -70.6% | 0.58 | 0.20 | 495.0x | 181 | 53% |
| EMA 크로스오버 fast=23, slow=124 |
14.3% | -65.1% | 0.57 | 0.22 | 502.4x | 117 | 61% |
| SMA 크로스오버 fast=10, slow=210 |
14.2% | -71.3% | 0.57 | 0.20 | 484.0x | 109 | 61% |
| Donchian 채널 돌파 entryN=67, exitN=43 |
11.4% | -71.6% | 0.51 | 0.16 | 152.7x | 117 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
11.2% | -74.9% | 0.50 | 0.15 | 137.5x | 261 | 47% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=2.7 |
9.6% | -76.3% | 0.48 | 0.13 | 71.2x | 198 | 40% |
| ROC 모멘텀 n=74, threshold=0.01 |
10.7% | -82.6% | 0.47 | 0.13 | 110.3x | 535 | 57% |
| ADX / DI 방향성 period=27, threshold=15 |
8.2% | -72.5% | 0.42 | 0.11 | 38.5x | 378 | 40% |
| MACD fast=31, slow=57, signal=22 |
8.6% | -89.0% | 0.41 | 0.10 | 45.5x | 371 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.2% | -80.8% | 0.35 | 0.08 | 16.3x | 377 | 54% |
| Buy and hold | 16.2% | -94.5% | 0.55 | 0.17 | 1067.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)