Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sally Beauty Holdings, Inc. (Name to be changed from Sally Holdings, Inc.) backtest
10 trend-following strategies were compared on the full daily history of Sally Beauty Holdings, Inc. (Name to be changed from Sally Holdings, Inc.). 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.4%, MDD -44.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.8%, drawdown -80.5%).
Sharpe leader (same as main): Supertrend — CAGR 5.8%, MDD -59.9%, Sharpe 0.34, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 4.4%, MDD -44.4%, exposure 28%).
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=29, mult=3.9 |
5.8% | -59.9% | 0.34 | 0.10 | 3.0x | 75 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=2.6 |
4.4% | -44.4% | 0.30 | 0.10 | 2.3x | 59 | 28% |
| SMA 크로스오버 fast=42, slow=44 |
3.7% | -56.6% | 0.27 | 0.07 | 2.1x | 271 | 51% |
| EMA 크로스오버 fast=27, slow=94 |
3.0% | -59.1% | 0.25 | 0.05 | 1.8x | 49 | 50% |
| ADX / DI 방향성 period=35, threshold=24 |
2.0% | -27.1% | 0.23 | 0.07 | 1.5x | 12 | 7% |
| 볼린저 밴드 돌파 n=58, k=2 |
2.2% | -53.1% | 0.21 | 0.04 | 1.5x | 75 | 32% |
| MACD fast=19, slow=49, signal=22 |
1.2% | -68.8% | 0.20 | 0.02 | 1.3x | 211 | 49% |
| Donchian 채널 돌파 entryN=28, exitN=33 |
0.3% | -67.6% | 0.17 | 0.01 | 1.1x | 75 | 53% |
| ROC 모멘텀 n=53, threshold=0.16 |
-1.3% | -57.8% | 0.05 | -0.02 | 0.8x | 183 | 20% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-12.9% | -95.4% | -0.25 | -0.14 | 0.1x | 355 | 50% |
| Buy and hold | 3.8% | -80.5% | 0.31 | 0.05 | 2.1x | 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) — 29-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)