Trend-Following Backtester · Guide · backtest 한국어
equity · US
Revolve Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Revolve Group, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.5%, MDD -31.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.8%, drawdown -85.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.5%, MDD -31.0%, Sharpe 0.70, 32% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 26.3%p higher than buy and hold, while drawdown improves by 54.8%p (CAGR 20.5%, MDD -31.0%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=111, threshold=0.18 |
20.5% | -31.0% | 0.70 | 0.66 | 3.9x | 44 | 32% |
| Donchian 채널 돌파 entryN=61, exitN=42 |
19.8% | -49.8% | 0.64 | 0.40 | 3.7x | 11 | 46% |
| SMA 크로스오버 fast=56, slow=165 |
17.3% | -63.0% | 0.59 | 0.27 | 3.2x | 12 | 45% |
| ADX / DI 방향성 period=39, threshold=8 |
17.1% | -62.2% | 0.57 | 0.27 | 3.1x | 55 | 47% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=33, mult=2.1 |
13.2% | -43.7% | 0.52 | 0.30 | 2.5x | 20 | 33% |
| EMA 크로스오버 fast=37, slow=57 |
12.1% | -62.7% | 0.48 | 0.19 | 2.3x | 19 | 47% |
| Parabolic SAR step=0.015, maxStep=0.08 |
11.6% | -68.0% | 0.47 | 0.17 | 2.2x | 102 | 48% |
| MACD fast=15, slow=47, signal=10 |
7.5% | -66.6% | 0.38 | 0.11 | 1.7x | 92 | 52% |
| Supertrend period=14, mult=2.3 |
3.6% | -67.5% | 0.30 | 0.05 | 1.3x | 62 | 45% |
| 볼린저 밴드 돌파 n=64, k=1.7 |
3.9% | -55.4% | 0.28 | 0.07 | 1.3x | 26 | 33% |
| Buy and hold | -5.8% | -85.7% | 0.24 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 111-day return is greater than 18%
- Sell — Sell when the 111-day return drops to 18% or below