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 Supertrend (CAGR 20.6%, MDD -37.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.3%, drawdown -54.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.7%, MDD -13.3%, Sharpe 0.79, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.8%, MDD -45.5%, exposure 67%.
Return/drawdown alternative: Supertrend — CAGR is 10.6%p lower than buy and hold, while drawdown improves by 41.4%p (CAGR 20.6%, MDD -37.5%, exposure 58%).
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 |
11.7% | -13.3% | 0.79 | 0.89 | 1.9x | 2 | 8% |
| 볼린저 밴드 돌파 n=42, k=3 |
12.0% | -14.8% | 0.76 | 0.81 | 2.0x | 6 | 17% |
| Supertrend period=7, mult=4.1 |
20.6% | -37.5% | 0.72 | 0.55 | 3.0x | 22 | 58% |
| Donchian 채널 돌파 entryN=12, exitN=28 |
21.8% | -45.5% | 0.71 | 0.48 | 3.2x | 28 | 67% |
| SMA 크로스오버 fast=11, slow=34 |
16.5% | -42.9% | 0.63 | 0.38 | 2.5x | 40 | 55% |
| EMA 크로스오버 fast=12, slow=42 |
16.6% | -39.7% | 0.63 | 0.42 | 2.5x | 30 | 54% |
| Parabolic SAR step=0.005, maxStep=0.3 |
12.9% | -52.5% | 0.53 | 0.25 | 2.1x | 50 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=12, mult=1.4 |
6.8% | -52.1% | 0.37 | 0.13 | 1.5x | 44 | 44% |
| MACD fast=24, slow=42, signal=24 |
6.3% | -32.2% | 0.35 | 0.19 | 1.4x | 52 | 48% |
| ROC 모멘텀 n=82, threshold=-0.03 |
3.8% | -54.6% | 0.28 | 0.07 | 1.2x | 54 | 57% |
| Buy and hold | 22.3% | -54.6% | 0.67 | 0.41 | 3.3x | 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)