Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dillard's, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dillard's, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.6%, MDD -65.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.3%, drawdown -94.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -70.6%, Sharpe 0.58, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 24.0%p (CAGR 14.6%, MDD -65.7%, exposure 61%).
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=59, slow=103 |
14.7% | -70.6% | 0.58 | 0.21 | 583.6x | 103 | 59% |
| Supertrend period=14, mult=4.9 |
14.2% | -70.6% | 0.58 | 0.20 | 474.8x | 177 | 54% |
| EMA 크로스오버 fast=26, slow=121 |
14.6% | -65.7% | 0.58 | 0.22 | 563.1x | 113 | 61% |
| Donchian 채널 돌파 entryN=69, exitN=79 |
14.3% | -70.7% | 0.57 | 0.20 | 503.0x | 75 | 61% |
| ROC 모멘텀 n=145, threshold=-0.05 |
13.4% | -86.8% | 0.53 | 0.15 | 344.3x | 309 | 68% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
11.3% | -74.9% | 0.51 | 0.15 | 147.2x | 261 | 47% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=28, mult=3 |
9.9% | -68.3% | 0.50 | 0.14 | 80.9x | 180 | 37% |
| ADX / DI 방향성 period=27, threshold=15 |
8.2% | -72.5% | 0.42 | 0.11 | 38.5x | 378 | 40% |
| MACD fast=30, slow=54, signal=23 |
8.7% | -88.6% | 0.42 | 0.10 | 48.4x | 373 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.3% | -80.8% | 0.35 | 0.08 | 17.5x | 377 | 54% |
| Buy and hold | 16.3% | -94.5% | 0.56 | 0.17 | 1142.8x | 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 59-day average price crosses above the 103-day average
- Sell — Sell (to cash) when the 59-day average falls below the 103-day average