Trend-Following Backtester · Guide · backtest 한국어
equity · US
Deckers Outdoor Corporation backtest
10 trend-following strategies were compared on the full daily history of Deckers Outdoor Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.2%, MDD -62.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.2%, drawdown -94.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.2%, MDD -62.4%, Sharpe 0.65, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 20.2%, MDD -62.4%, exposure 63%).
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=35, slow=149 |
20.2% | -62.4% | 0.65 | 0.32 | 414.3x | 48 | 63% |
| Donchian 채널 돌파 entryN=75, exitN=101 |
16.0% | -78.8% | 0.56 | 0.20 | 129.4x | 35 | 66% |
| ROC 모멘텀 n=134, threshold=-0.08 |
14.8% | -82.7% | 0.53 | 0.18 | 91.2x | 213 | 70% |
| EMA 크로스오버 fast=58, slow=204 |
13.8% | -82.5% | 0.53 | 0.17 | 69.6x | 38 | 58% |
| Supertrend period=25, mult=3.5 |
6.1% | -91.0% | 0.35 | 0.07 | 7.0x | 164 | 52% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=7, mult=3.7 |
3.1% | -35.0% | 0.32 | 0.09 | 2.7x | 34 | 7% |
| 볼린저 밴드 돌파 n=50, k=2.4 |
4.6% | -87.5% | 0.30 | 0.05 | 4.4x | 110 | 31% |
| MACD fast=33, slow=51, signal=67 |
3.8% | -78.6% | 0.30 | 0.05 | 3.4x | 178 | 54% |
| ADX / DI 방향성 period=33, threshold=11 |
1.4% | -93.5% | 0.24 | 0.02 | 1.6x | 332 | 52% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-9.9% | -97.4% | -0.05 | -0.10 | 0.0x | 889 | 54% |
| Buy and hold | 14.2% | -94.4% | 0.52 | 0.15 | 78.9x | 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 35-day average price crosses above the 149-day average
- Sell — Sell (to cash) when the 35-day average falls below the 149-day average