Trend-Following Backtester · Guide · backtest 한국어
equity · US
Smith & Wesson Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Smith & Wesson Brands, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.6%, MDD -67.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.3%, drawdown -96.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -73.7%, Sharpe 0.50, 52% exposure.
CAGR reference leader: MACD — CAGR 13.0%, MDD -85.9%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 12.6%, MDD -67.7%, exposure 46%).
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=216 |
13.0% | -73.7% | 0.50 | 0.18 | 27.0x | 53 | 52% |
| Donchian 채널 돌파 entryN=119, exitN=70 |
12.6% | -67.7% | 0.49 | 0.19 | 24.5x | 29 | 46% |
| EMA 크로스오버 fast=40, slow=200 |
12.3% | -74.1% | 0.48 | 0.17 | 22.8x | 35 | 53% |
| MACD fast=21, slow=58, signal=23 |
13.0% | -85.9% | 0.48 | 0.15 | 27.2x | 204 | 51% |
| 볼린저 밴드 돌파 n=22, k=2.3 |
10.9% | -69.6% | 0.45 | 0.16 | 16.1x | 172 | 25% |
| Supertrend period=23, mult=3.4 |
9.1% | -82.8% | 0.42 | 0.11 | 10.4x | 140 | 47% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=9, mult=1.9 |
8.7% | -74.8% | 0.40 | 0.12 | 9.5x | 150 | 30% |
| ROC 모멘텀 n=69, threshold=-0.02 |
5.8% | -82.7% | 0.35 | 0.07 | 4.6x | 333 | 55% |
| ADX / DI 방향성 period=26, threshold=16 |
5.5% | -78.7% | 0.33 | 0.07 | 4.2x | 226 | 33% |
| Parabolic SAR step=0.01, maxStep=0.22 |
3.5% | -83.3% | 0.32 | 0.04 | 2.5x | 324 | 50% |
| Buy and hold | 11.3% | -96.0% | 0.50 | 0.12 | 17.7x | 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 216-day average
- Sell — Sell (to cash) when the 11-day average falls below the 216-day average