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. 7 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 11.9%, MDD -47.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.8%, drawdown -90.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.9%, MDD -47.9%, Sharpe 0.59, 24% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.0%, MDD -55.9%, exposure 43%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 42.7%p (CAGR 11.9%, 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 |
11.9% | -47.9% | 0.59 | 0.25 | 29.2x | 73 | 24% |
| Donchian 채널 돌파 entryN=117, exitN=34 |
12.5% | -56.7% | 0.56 | 0.22 | 33.8x | 61 | 35% |
| ROC 모멘텀 n=131, threshold=0.13 |
13.0% | -55.9% | 0.53 | 0.23 | 38.7x | 173 | 43% |
| 볼린저 밴드 돌파 n=57, k=3 |
8.6% | -56.6% | 0.50 | 0.15 | 11.7x | 47 | 19% |
| ADX / DI 방향성 period=38, threshold=13 |
10.9% | -76.3% | 0.50 | 0.14 | 22.1x | 179 | 36% |
| Supertrend period=8, mult=3.6 |
10.7% | -86.8% | 0.46 | 0.12 | 21.0x | 171 | 52% |
| SMA 크로스오버 fast=57, slow=199 |
10.3% | -78.8% | 0.45 | 0.13 | 18.6x | 45 | 53% |
| EMA 크로스오버 fast=59, slow=84 |
9.7% | -74.8% | 0.44 | 0.13 | 15.8x | 63 | 53% |
| MACD fast=19, slow=22, signal=21 |
3.1% | -94.2% | 0.28 | 0.03 | 2.5x | 375 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
2.1% | -88.6% | 0.25 | 0.02 | 1.9x | 407 | 52% |
| Buy and hold | 8.8% | -90.6% | 0.43 | 0.10 | 12.3x | 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