Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lands' End, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lands' End, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.2%, MDD -18.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.0%, drawdown -92.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.3%, MDD -34.5%, Sharpe 0.46, 20% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 57.9%p (CAGR 2.2%, MDD -18.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=3.2 |
9.3% | -34.5% | 0.46 | 0.27 | 3.0x | 26 | 20% |
| Donchian 채널 돌파 entryN=115, exitN=51 |
4.4% | -54.5% | 0.29 | 0.08 | 1.7x | 16 | 29% |
| ADX / DI 방향성 period=13, threshold=21 |
4.4% | -44.9% | 0.29 | 0.10 | 1.7x | 132 | 30% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=11, mult=2.3 |
2.2% | -18.3% | 0.29 | 0.12 | 1.3x | 16 | 2% |
| ROC 모멘텀 n=79, threshold=0.13 |
3.6% | -77.7% | 0.28 | 0.05 | 1.6x | 113 | 34% |
| Supertrend period=24, mult=3.5 |
1.8% | -81.1% | 0.26 | 0.02 | 1.2x | 62 | 43% |
| EMA 크로스오버 fast=19, slow=232 |
2.3% | -61.2% | 0.24 | 0.04 | 1.3x | 14 | 32% |
| SMA 크로스오버 fast=8, slow=134 |
-1.2% | -80.1% | 0.17 | -0.02 | 0.9x | 44 | 41% |
| MACD fast=24, slow=29, signal=16 |
-4.8% | -81.8% | 0.14 | -0.06 | 0.5x | 143 | 53% |
| Parabolic SAR step=0.04, maxStep=0.1 |
-8.9% | -90.3% | 0.03 | -0.10 | 0.3x | 299 | 47% |
| Buy and hold | -8.0% | -92.5% | 0.22 | -0.09 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 51-day middle average