Trend-Following Backtester · Guide · backtest 한국어
equity · US
Academy Sports and Outdoors, Inc. backtest
10 trend-following strategies were compared on the full daily history of Academy Sports and Outdoors, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.1%, MDD -40.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.8%, drawdown -54.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.9%, MDD -13.3%, Sharpe 0.80, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.1%, MDD -40.2%, exposure 67%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.9%p lower than buy and hold, while drawdown improves by 41.4%p (CAGR 24.1%, MDD -40.2%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=33 |
11.9% | -13.3% | 0.80 | 0.90 | 1.9x | 2 | 9% |
| 볼린저 밴드 돌파 n=42, k=3 |
12.2% | -14.8% | 0.77 | 0.83 | 2.0x | 6 | 17% |
| Donchian 채널 돌파 entryN=12, exitN=28 |
24.1% | -40.2% | 0.76 | 0.60 | 3.5x | 27 | 67% |
| Supertrend period=7, mult=4.1 |
20.9% | -37.5% | 0.72 | 0.56 | 3.0x | 22 | 59% |
| SMA 크로스오버 fast=11, slow=34 |
17.4% | -40.6% | 0.65 | 0.43 | 2.5x | 39 | 55% |
| EMA 크로스오버 fast=12, slow=42 |
16.9% | -39.7% | 0.63 | 0.42 | 2.5x | 30 | 55% |
| Parabolic SAR step=0.005, maxStep=0.3 |
14.9% | -47.9% | 0.58 | 0.31 | 2.2x | 49 | 53% |
| MACD fast=24, slow=42, signal=24 |
8.1% | -32.2% | 0.41 | 0.25 | 1.6x | 51 | 47% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=12, mult=1.4 |
6.9% | -52.1% | 0.37 | 0.13 | 1.5x | 44 | 45% |
| ROC 모멘텀 n=82, threshold=-0.03 |
3.8% | -54.6% | 0.28 | 0.07 | 1.2x | 54 | 57% |
| Buy and hold | 24.8% | -54.6% | 0.71 | 0.45 | 3.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)