Trend-Following Backtester · Guide · backtest 한국어
equity · US
Steven Madden, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Steven Madden, Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.3%, MDD -49.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -77.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.6%, MDD -70.2%, Sharpe 0.53, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 6.9%p (CAGR 11.3%, MDD -49.3%, exposure 62%).
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=20, exitN=57 |
14.6% | -70.2% | 0.53 | 0.21 | 84.7x | 87 | 77% |
| SMA 크로스오버 fast=24, slow=146 |
11.3% | -49.3% | 0.48 | 0.23 | 33.3x | 69 | 62% |
| EMA 크로스오버 fast=36, slow=94 |
10.7% | -59.5% | 0.46 | 0.18 | 27.9x | 79 | 63% |
| Supertrend period=13, mult=4.8 |
9.8% | -65.8% | 0.43 | 0.15 | 20.9x | 91 | 63% |
| MACD fast=29, slow=36, signal=32 |
9.4% | -79.1% | 0.42 | 0.12 | 18.6x | 265 | 50% |
| ROC 모멘텀 n=133, threshold=-0.09 |
8.6% | -67.9% | 0.41 | 0.13 | 14.8x | 221 | 76% |
| ADX / DI 방향성 period=34, threshold=26 |
3.4% | -35.5% | 0.27 | 0.09 | 2.9x | 24 | 6% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.7% | -86.0% | 0.22 | 0.02 | 1.8x | 295 | 55% |
| 볼린저 밴드 돌파 n=53, k=3.3 |
1.7% | -44.6% | 0.18 | 0.04 | 1.7x | 28 | 8% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=14, mult=3.5 |
0.2% | -40.4% | 0.07 | 0.00 | 1.1x | 40 | 7% |
| Buy and hold | 12.4% | -77.2% | 0.49 | 0.16 | 45.7x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 57 days