Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stitch Fix, Inc. backtest
10 trend-following strategies were compared on the full daily history of Stitch Fix, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.3%, MDD -54.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.2%, drawdown -98.0%).
Sharpe leader (same as main): Supertrend — CAGR 16.3%, MDD -54.3%, Sharpe 0.54, 42% exposure.
Return/drawdown alternative: Supertrend — CAGR is 30.5%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 16.3%, MDD -54.3%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=1.7 |
16.3% | -54.3% | 0.54 | 0.30 | 3.7x | 113 | 42% |
| ADX / DI 방향성 period=6, threshold=25 |
11.2% | -71.9% | 0.47 | 0.16 | 2.5x | 227 | 42% |
| 볼린저 밴드 돌파 n=14, k=1.6 |
10.5% | -65.7% | 0.44 | 0.16 | 2.4x | 129 | 33% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=12, mult=0.5 |
8.9% | -81.1% | 0.41 | 0.11 | 2.1x | 177 | 37% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.8% | -73.0% | 0.34 | 0.04 | 1.3x | 76 | 44% |
| EMA 크로스오버 fast=8, slow=28 |
1.0% | -72.0% | 0.31 | 0.01 | 1.1x | 73 | 44% |
| MACD fast=18, slow=23, signal=9 |
-2.8% | -92.7% | 0.26 | -0.03 | 0.8x | 125 | 54% |
| SMA 크로스오버 fast=3, slow=55 |
-1.8% | -79.7% | 0.24 | -0.02 | 0.9x | 77 | 44% |
| ROC 모멘텀 n=37, threshold=0.07 |
-2.3% | -76.9% | 0.22 | -0.03 | 0.8x | 117 | 39% |
| Donchian 채널 돌파 entryN=22, exitN=25 |
-8.9% | -86.4% | 0.15 | -0.10 | 0.4x | 47 | 50% |
| Buy and hold | -14.2% | -98.0% | 0.23 | -0.14 | 0.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)