Trend-Following Backtester · Guide · backtest 한국어
equity · US
lululemon athletica inc. backtest
10 trend-following strategies were compared on the full daily history of lululemon athletica inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -36.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.9%, drawdown -92.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -50.4%, Sharpe 0.64, 29% exposure.
CAGR reference leader: Supertrend — CAGR 16.0%, MDD -57.4%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 41.9%p (CAGR 10.7%, MDD -36.9%, exposure 24%).
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=113, exitN=18 |
11.3% | -50.4% | 0.64 | 0.23 | 7.8x | 48 | 29% |
| Supertrend period=13, mult=4.3 |
16.0% | -57.4% | 0.64 | 0.28 | 17.1x | 74 | 55% |
| SMA 크로스오버 fast=29, slow=79 |
15.5% | -61.7% | 0.62 | 0.25 | 15.6x | 54 | 57% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=21, mult=1.7 |
10.7% | -36.9% | 0.60 | 0.29 | 6.9x | 144 | 24% |
| ROC 모멘텀 n=56, threshold=-0.02 |
14.7% | -62.6% | 0.58 | 0.23 | 13.6x | 185 | 61% |
| EMA 크로스오버 fast=9, slow=120 |
13.2% | -54.9% | 0.56 | 0.24 | 10.6x | 64 | 58% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
9.9% | -57.3% | 0.49 | 0.17 | 6.1x | 102 | 43% |
| ADX / DI 방향성 period=22, threshold=10 |
9.3% | -62.1% | 0.44 | 0.15 | 5.5x | 266 | 52% |
| Parabolic SAR step=0.03, maxStep=0.12 |
3.2% | -74.5% | 0.27 | 0.04 | 1.8x | 428 | 54% |
| MACD fast=18, slow=30, signal=19 |
2.8% | -64.4% | 0.25 | 0.04 | 1.7x | 212 | 51% |
| Buy and hold | 11.9% | -92.3% | 0.48 | 0.13 | 8.5x | 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 113 days
- Sell — Sell when price breaks below the lowest low of the last 18 days