Trend-Following Backtester · Guide · backtest 한국어
equity · US
PVH Corp. backtest
10 trend-following strategies were compared on the full daily history of PVH Corp.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -57.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -85.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.5%, MDD -78.2%, Sharpe 0.46, 79% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 7.7%p (CAGR 7.3%, MDD -57.8%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=31, exitN=91 |
10.5% | -78.2% | 0.46 | 0.13 | 101.9x | 85 | 79% |
| Supertrend period=9, mult=5 |
7.6% | -70.3% | 0.40 | 0.11 | 30.0x | 168 | 62% |
| SMA 크로스오버 fast=14, slow=97 |
7.3% | -57.8% | 0.39 | 0.13 | 26.4x | 160 | 59% |
| EMA 크로스오버 fast=32, slow=194 |
6.9% | -74.0% | 0.38 | 0.09 | 22.4x | 87 | 63% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
5.5% | -53.9% | 0.35 | 0.10 | 12.2x | 216 | 43% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=14, mult=1.3 |
4.1% | -74.3% | 0.28 | 0.05 | 6.4x | 300 | 51% |
| ROC 모멘텀 n=136, threshold=-0.03 |
3.6% | -80.8% | 0.27 | 0.05 | 5.3x | 359 | 66% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.3% | -73.1% | 0.22 | 0.03 | 2.9x | 384 | 56% |
| ADX / DI 방향성 period=39, threshold=24 |
1.7% | -35.1% | 0.21 | 0.05 | 2.1x | 50 | 10% |
| MACD fast=30, slow=90, signal=15 |
1.5% | -73.8% | 0.19 | 0.02 | 2.0x | 414 | 51% |
| Buy and hold | 9.2% | -85.9% | 0.42 | 0.11 | 59.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 31 days
- Sell — Sell when price breaks below the lowest low of the last 91 days