Trend-Following Backtester · Guide · backtest 한국어
equity · US
Johnson Outdoors Inc. backtest
10 trend-following strategies were compared on the full daily history of Johnson Outdoors Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 2.5%, drawdown -85.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.1%, MDD -71.5%, Sharpe 0.32, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=124 |
5.1% | -71.5% | 0.32 | 0.07 | 6.9x | 53 | 55% |
| SMA 크로스오버 fast=40, slow=98 |
4.8% | -72.6% | 0.31 | 0.07 | 6.1x | 104 | 52% |
| Donchian 채널 돌파 entryN=70, exitN=56 |
4.7% | -73.3% | 0.30 | 0.06 | 6.0x | 64 | 50% |
| Supertrend period=22, mult=5 |
3.4% | -78.4% | 0.26 | 0.04 | 3.6x | 94 | 55% |
| 볼린저 밴드 돌파 n=37, k=2.1 |
1.1% | -79.7% | 0.17 | 0.01 | 1.5x | 200 | 30% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-1.1% | -85.6% | 0.11 | -0.01 | 0.6x | 297 | 53% |
| ADX / DI 방향성 period=21, threshold=31 |
0.6% | -49.1% | 0.11 | 0.01 | 1.3x | 82 | 12% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=2.2 |
-0.0% | -81.0% | 0.11 | -0.00 | 1.0x | 146 | 33% |
| MACD fast=17, slow=42, signal=17 |
-4.8% | -96.6% | 0.00 | -0.05 | 0.1x | 475 | 51% |
| ROC 모멘텀 n=124, threshold=-0.03 |
-5.1% | -96.5% | -0.00 | -0.05 | 0.1x | 399 | 60% |
| Buy and hold | 2.5% | -85.9% | 0.28 | 0.03 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 124-day EMA
- Sell — Sell when the 57-day EMA falls below the 124-day EMA