Trend-Following Backtester · Guide · backtest 한국어
equity · US
Winnebago Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Winnebago Industries, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.9%, MDD -34.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.2%, drawdown -92.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -86.9%, Sharpe 0.36, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 5.1%p (CAGR 2.9%, MDD -34.4%, exposure 5%).
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=17, slow=123 |
6.9% | -86.9% | 0.36 | 0.08 | 35.1x | 140 | 48% |
| EMA 크로스오버 fast=30, slow=60 |
5.5% | -86.8% | 0.32 | 0.06 | 17.1x | 164 | 48% |
| Donchian 채널 돌파 entryN=65, exitN=25 |
5.2% | -81.8% | 0.32 | 0.06 | 15.0x | 152 | 33% |
| Supertrend period=26, mult=3.7 |
4.9% | -74.7% | 0.31 | 0.07 | 12.9x | 254 | 45% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
2.9% | -34.4% | 0.29 | 0.08 | 4.6x | 44 | 5% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=1.5 |
3.5% | -71.8% | 0.26 | 0.05 | 6.3x | 404 | 34% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.5% | -88.2% | 0.25 | 0.03 | 3.8x | 391 | 46% |
| ADX / DI 방향성 period=23, threshold=7 |
2.3% | -85.0% | 0.25 | 0.03 | 3.3x | 781 | 53% |
| MACD fast=24, slow=64, signal=14 |
1.5% | -86.1% | 0.23 | 0.02 | 2.3x | 541 | 52% |
| ROC 모멘텀 n=48, threshold=0.1 |
0.5% | -80.1% | 0.17 | 0.01 | 1.3x | 658 | 32% |
| Buy and hold | 2.2% | -92.0% | 0.31 | 0.02 | 3.2x | 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 17-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 17-day average falls below the 123-day average