Trend-Following Backtester · Guide · backtest 한국어
equity · US
Abercrombie & Fitch Company backtest
10 trend-following strategies were compared on the full daily history of Abercrombie & Fitch Company. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.0%, MDD -47.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.5%, drawdown -90.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.0%, MDD -47.9%, Sharpe 0.57, 24% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.9%, MDD -55.9%, exposure 43%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 42.7%p (CAGR 11.0%, MDD -47.9%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=24, mult=3.9 |
11.0% | -47.9% | 0.57 | 0.23 | 22.6x | 72 | 24% |
| Donchian 채널 돌파 entryN=117, exitN=34 |
11.5% | -56.7% | 0.54 | 0.20 | 25.8x | 60 | 34% |
| 볼린저 밴드 돌파 n=57, k=3 |
8.7% | -56.6% | 0.51 | 0.15 | 12.1x | 46 | 19% |
| ROC 모멘텀 n=131, threshold=0.13 |
11.9% | -55.9% | 0.50 | 0.21 | 28.6x | 168 | 43% |
| ADX / DI 방향성 period=38, threshold=13 |
10.2% | -76.3% | 0.48 | 0.13 | 18.3x | 178 | 36% |
| Supertrend period=8, mult=3.6 |
9.4% | -86.8% | 0.43 | 0.11 | 14.6x | 171 | 52% |
| SMA 크로스오버 fast=57, slow=199 |
9.2% | -78.8% | 0.42 | 0.12 | 13.8x | 44 | 53% |
| EMA 크로스오버 fast=59, slow=84 |
8.4% | -74.8% | 0.40 | 0.11 | 11.0x | 63 | 53% |
| MACD fast=19, slow=22, signal=21 |
3.1% | -94.2% | 0.28 | 0.03 | 2.5x | 373 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
2.1% | -88.6% | 0.24 | 0.02 | 1.9x | 405 | 52% |
| Buy and hold | 7.5% | -90.6% | 0.41 | 0.08 | 8.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 46-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average