Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shoe Station Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Shoe Station Group, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -60.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.5%, drawdown -84.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -64.1%, Sharpe 0.37, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 5.6%, MDD -60.0%, exposure 57%).
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=51, slow=92 |
7.2% | -64.1% | 0.37 | 0.11 | 10.1x | 86 | 55% |
| Supertrend period=22, mult=4.8 |
6.5% | -73.7% | 0.35 | 0.09 | 8.3x | 94 | 56% |
| Donchian 채널 돌파 entryN=49, exitN=57 |
5.6% | -60.0% | 0.33 | 0.09 | 6.2x | 72 | 57% |
| EMA 크로스오버 fast=28, slow=30 |
3.2% | -61.2% | 0.26 | 0.05 | 2.8x | 154 | 53% |
| ROC 모멘텀 n=73, threshold=0 |
2.3% | -76.1% | 0.24 | 0.03 | 2.1x | 366 | 54% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=1.7 |
1.4% | -62.0% | 0.19 | 0.02 | 1.6x | 158 | 41% |
| ADX / DI 방향성 period=34, threshold=13 |
0.3% | -70.4% | 0.15 | 0.00 | 1.1x | 238 | 36% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.6% | -28.8% | 0.12 | 0.02 | 1.2x | 30 | 2% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.4% | -85.7% | 0.12 | -0.03 | 0.4x | 555 | 50% |
| MACD fast=13, slow=22, signal=8 |
-9.0% | -97.5% | -0.06 | -0.09 | 0.0x | 685 | 49% |
| Buy and hold | 4.5% | -84.9% | 0.35 | 0.05 | 4.4x | 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 51-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 51-day average falls below the 92-day average