Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tapestry, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tapestry, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.0%, MDD -49.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.3%, drawdown -86.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.0%, MDD -49.1%, Sharpe 0.65, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 37.5%p (CAGR 16.0%, MDD -49.1%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=211 |
16.0% | -49.1% | 0.65 | 0.32 | 46.2x | 29 | 62% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=18, mult=3.5 |
11.3% | -46.9% | 0.62 | 0.24 | 16.0x | 68 | 36% |
| SMA 크로스오버 fast=30, slow=44 |
14.8% | -59.2% | 0.62 | 0.25 | 35.6x | 151 | 58% |
| Supertrend period=23, mult=5 |
13.6% | -51.6% | 0.59 | 0.26 | 27.2x | 74 | 57% |
| Donchian 채널 돌파 entryN=114, exitN=29 |
10.0% | -39.8% | 0.56 | 0.25 | 11.8x | 54 | 35% |
| 볼린저 밴드 돌파 n=69, k=1.7 |
10.3% | -62.8% | 0.55 | 0.16 | 12.8x | 92 | 41% |
| ROC 모멘텀 n=145, threshold=0.05 |
10.5% | -68.2% | 0.51 | 0.15 | 13.3x | 166 | 54% |
| MACD fast=24, slow=37, signal=31 |
8.0% | -62.0% | 0.42 | 0.13 | 7.4x | 222 | 53% |
| ADX / DI 방향성 period=34, threshold=15 |
5.3% | -70.1% | 0.36 | 0.08 | 3.8x | 146 | 29% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.4% | -89.4% | 0.16 | 0.00 | 1.1x | 232 | 57% |
| Buy and hold | 16.3% | -86.6% | 0.57 | 0.19 | 50.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 211-day EMA
- Sell — Sell when the 36-day EMA falls below the 211-day EMA