Trend-Following Backtester · Guide · backtest 한국어
equity · US
Citi Trends, Inc. backtest
10 trend-following strategies were compared on the full daily history of Citi Trends, Inc.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -16.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.0%, drawdown -87.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.4%, MDD -16.0%, Sharpe 0.67, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.5%, MDD -66.3%, exposure 68%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 71.4%p (CAGR 5.4%, MDD -16.0%, exposure 3%).
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=30, threshold=31 |
5.4% | -16.0% | 0.67 | 0.34 | 3.1x | 8 | 3% |
| Donchian 채널 돌파 entryN=32, exitN=63 |
20.5% | -66.3% | 0.65 | 0.31 | 52.4x | 41 | 68% |
| Supertrend period=10, mult=4.3 |
13.1% | -74.2% | 0.51 | 0.18 | 13.6x | 73 | 55% |
| 볼린저 밴드 돌파 n=42, k=3 |
8.3% | -49.7% | 0.47 | 0.17 | 5.4x | 55 | 21% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=8, mult=1.7 |
9.8% | -61.3% | 0.45 | 0.16 | 7.2x | 117 | 37% |
| SMA 크로스오버 fast=25, slow=96 |
10.4% | -73.4% | 0.45 | 0.14 | 8.1x | 63 | 53% |
| EMA 크로스오버 fast=35, slow=87 |
8.9% | -76.1% | 0.41 | 0.12 | 6.1x | 53 | 56% |
| ROC 모멘텀 n=104, threshold=0.01 |
5.7% | -75.8% | 0.33 | 0.07 | 3.2x | 179 | 52% |
| MACD fast=23, slow=56, signal=19 |
1.3% | -85.8% | 0.23 | 0.01 | 1.3x | 205 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.0% | -82.6% | 0.20 | -0.00 | 1.0x | 289 | 51% |
| Buy and hold | 7.0% | -87.4% | 0.40 | 0.08 | 4.2x | 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, 30-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)