Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zumiez Inc. backtest
10 trend-following strategies were compared on the full daily history of Zumiez Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.5%, MDD -50.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.2%, drawdown -88.1%).
Sharpe leader (same as main): Supertrend — CAGR 9.6%, MDD -53.5%, Sharpe 0.44, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 3.5%, MDD -50.2%, exposure 19%).
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=28, mult=3.2 |
9.6% | -53.5% | 0.44 | 0.18 | 7.0x | 108 | 51% |
| 볼린저 밴드 돌파 n=48, k=1.5 |
9.1% | -55.5% | 0.43 | 0.16 | 6.3x | 116 | 42% |
| Parabolic SAR step=0.015, maxStep=0.02 |
9.3% | -53.8% | 0.43 | 0.17 | 6.6x | 112 | 51% |
| MACD fast=21, slow=59, signal=22 |
9.2% | -70.5% | 0.42 | 0.13 | 6.5x | 159 | 51% |
| EMA 크로스오버 fast=12, slow=30 |
8.2% | -59.2% | 0.40 | 0.14 | 5.3x | 145 | 52% |
| Donchian 채널 돌파 entryN=31, exitN=23 |
6.1% | -62.4% | 0.34 | 0.10 | 3.5x | 89 | 47% |
| SMA 크로스오버 fast=14, slow=33 |
5.2% | -63.5% | 0.32 | 0.08 | 3.0x | 179 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=27, mult=4 |
3.5% | -50.2% | 0.27 | 0.07 | 2.1x | 44 | 19% |
| ROC 모멘텀 n=116, threshold=0.06 |
2.0% | -70.1% | 0.22 | 0.03 | 1.5x | 168 | 47% |
| ADX / DI 방향성 period=11, threshold=33 |
2.4% | -53.8% | 0.22 | 0.04 | 1.6x | 116 | 14% |
| Buy and hold | 2.2% | -88.1% | 0.32 | 0.02 | 1.6x | 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) — 28-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)