Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rocky Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rocky Brands, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.3%, MDD -20.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.3%, drawdown -93.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.2%, MDD -46.0%, Sharpe 0.51, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.4%, MDD -75.7%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 46.9%p (CAGR 4.3%, MDD -20.3%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=3.2 |
9.2% | -46.0% | 0.51 | 0.20 | 19.2x | 47 | 17% |
| SMA 크로스오버 fast=32, slow=157 |
10.4% | -75.7% | 0.45 | 0.14 | 27.4x | 55 | 48% |
| EMA 크로스오버 fast=39, slow=102 |
10.0% | -71.4% | 0.44 | 0.14 | 24.3x | 63 | 48% |
| ADX / DI 방향성 period=39, threshold=38 |
4.3% | -20.3% | 0.43 | 0.21 | 4.1x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=29, mult=3.4 |
7.3% | -56.5% | 0.42 | 0.13 | 10.7x | 79 | 20% |
| Donchian 채널 돌파 entryN=84, exitN=41 |
7.6% | -56.9% | 0.39 | 0.13 | 11.8x | 61 | 37% |
| Supertrend period=25, mult=4.4 |
6.1% | -73.3% | 0.34 | 0.08 | 7.2x | 107 | 48% |
| ROC 모멘텀 n=142, threshold=0.06 |
5.1% | -73.3% | 0.31 | 0.07 | 5.2x | 237 | 44% |
| Parabolic SAR step=0.015, maxStep=0.24 |
1.1% | -83.3% | 0.23 | 0.01 | 1.4x | 515 | 51% |
| MACD fast=17, slow=53, signal=17 |
-7.8% | -98.2% | 0.02 | -0.08 | 0.1x | 405 | 52% |
| Buy and hold | 4.3% | -93.0% | 0.36 | 0.05 | 4.0x | 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 50-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 50-day middle average