Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fossil Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fossil Group, Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.8%, MDD -77.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.4%, drawdown -99.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -81.3%, Sharpe 0.43, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 8.8%, MDD -77.2%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=105, exitN=99 |
10.0% | -81.3% | 0.43 | 0.12 | 24.3x | 33 | 56% |
| EMA 크로스오버 fast=59, slow=98 |
8.6% | -88.5% | 0.40 | 0.10 | 15.7x | 53 | 52% |
| Supertrend period=22, mult=4.8 |
8.8% | -77.2% | 0.40 | 0.11 | 16.6x | 96 | 54% |
| SMA 크로스오버 fast=29, slow=159 |
8.2% | -90.2% | 0.39 | 0.09 | 13.7x | 62 | 52% |
| ROC 모멘텀 n=125, threshold=0 |
6.9% | -89.0% | 0.37 | 0.08 | 9.2x | 231 | 52% |
| ADX / DI 방향성 period=38, threshold=12 |
3.5% | -93.0% | 0.29 | 0.04 | 3.1x | 234 | 41% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=21, mult=1.8 |
3.6% | -78.3% | 0.29 | 0.05 | 3.2x | 187 | 38% |
| 볼린저 밴드 돌파 n=45, k=1.5 |
1.8% | -87.0% | 0.25 | 0.02 | 1.8x | 203 | 40% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-2.7% | -98.2% | 0.19 | -0.03 | 0.4x | 667 | 49% |
| MACD fast=15, slow=47, signal=21 |
-5.4% | -99.0% | 0.13 | -0.06 | 0.2x | 383 | 51% |
| Buy and hold | 3.4% | -99.4% | 0.38 | 0.03 | 3.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 105 days
- Sell — Sell when price breaks below the lowest low of the last 99 days