Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ross Stores, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ross Stores, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.8%, MDD -49.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.1%, drawdown -82.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -49.5%, Sharpe 0.67, 64% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.3%, MDD -58.7%, exposure 83%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 32.8%p (CAGR 15.8%, MDD -49.5%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=11, slow=126 |
15.8% | -49.5% | 0.67 | 0.32 | 401.6x | 105 | 64% |
| Donchian 채널 돌파 entryN=11, exitN=49 |
17.3% | -58.7% | 0.63 | 0.29 | 691.7x | 137 | 83% |
| Supertrend period=18, mult=4.2 |
14.9% | -52.1% | 0.63 | 0.29 | 295.5x | 151 | 61% |
| EMA 크로스오버 fast=17, slow=128 |
14.0% | -48.5% | 0.61 | 0.29 | 211.1x | 95 | 64% |
| ROC 모멘텀 n=107, threshold=-0.04 |
13.4% | -61.2% | 0.58 | 0.22 | 173.7x | 309 | 70% |
| ADX / DI 방향성 period=27, threshold=29 |
5.1% | -31.3% | 0.50 | 0.16 | 7.7x | 52 | 9% |
| 볼린저 밴드 돌파 n=56, k=1 |
8.6% | -58.8% | 0.45 | 0.15 | 29.2x | 263 | 53% |
| Parabolic SAR step=0.005, maxStep=0.12 |
8.7% | -63.7% | 0.44 | 0.14 | 31.0x | 339 | 58% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=1.5 |
6.7% | -57.5% | 0.39 | 0.12 | 14.4x | 339 | 45% |
| MACD fast=17, slow=58, signal=19 |
5.5% | -64.3% | 0.33 | 0.09 | 9.0x | 441 | 51% |
| Buy and hold | 16.1% | -82.2% | 0.57 | 0.20 | 450.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 11-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 11-day average falls below the 126-day average