Trend-Following Backtester · Guide · backtest 한국어
equity · US
Urban Outfitters, Inc. backtest
10 trend-following strategies were compared on the full daily history of Urban Outfitters, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -77.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -62.5%, Sharpe 0.52, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=28, slow=105 |
12.7% | -62.5% | 0.52 | 0.20 | 51.1x | 87 | 56% |
| EMA 크로스오버 fast=42, slow=52 |
11.5% | -75.9% | 0.49 | 0.15 | 35.9x | 97 | 57% |
| Donchian 채널 돌파 entryN=68, exitN=136 |
11.2% | -69.0% | 0.47 | 0.16 | 32.8x | 37 | 66% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
4.5% | -30.2% | 0.43 | 0.15 | 4.2x | 46 | 7% |
| ROC 모멘텀 n=139, threshold=0.06 |
8.9% | -68.8% | 0.42 | 0.13 | 16.5x | 223 | 51% |
| Supertrend period=11, mult=4.1 |
9.0% | -81.9% | 0.42 | 0.11 | 16.7x | 129 | 56% |
| ADX / DI 방향성 period=41, threshold=32 |
2.7% | -24.4% | 0.38 | 0.11 | 2.4x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=21, mult=3.3 |
4.5% | -62.7% | 0.32 | 0.07 | 4.3x | 90 | 20% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.1% | -89.7% | 0.14 | -0.01 | 0.7x | 277 | 52% |
| MACD fast=18, slow=48, signal=19 |
-5.5% | -92.0% | 0.02 | -0.06 | 0.2x | 377 | 52% |
| Buy and hold | 12.9% | -77.1% | 0.49 | 0.17 | 54.1x | 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 28-day average price crosses above the 105-day average
- Sell — Sell (to cash) when the 28-day average falls below the 105-day average