Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bath & Body Works, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bath & Body Works, Inc.. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.6%, MDD -60.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.8%, drawdown -90.9%).
Sharpe leader (same as main): MACD — CAGR 7.0%, MDD -70.9%, Sharpe 0.38, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 6.6%, MDD -60.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=67, signal=23 |
7.0% | -70.9% | 0.38 | 0.10 | 19.9x | 366 | 53% |
| Supertrend period=21, mult=4 |
6.6% | -60.2% | 0.37 | 0.11 | 16.9x | 196 | 55% |
| 볼린저 밴드 돌파 n=65, k=1.6 |
5.2% | -63.7% | 0.34 | 0.08 | 9.4x | 178 | 41% |
| SMA 크로스오버 fast=10, slow=72 |
4.8% | -79.9% | 0.32 | 0.06 | 8.2x | 204 | 55% |
| Donchian 채널 돌파 entryN=52, exitN=52 |
4.7% | -80.5% | 0.32 | 0.06 | 7.8x | 110 | 53% |
| EMA 크로스오버 fast=15, slow=63 |
3.8% | -69.6% | 0.29 | 0.05 | 5.3x | 196 | 55% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=2.2 |
2.7% | -64.0% | 0.25 | 0.04 | 3.3x | 214 | 40% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.1% | -76.8% | 0.24 | 0.03 | 2.6x | 366 | 53% |
| ADX / DI 방향성 period=33, threshold=5 |
2.1% | -74.0% | 0.23 | 0.03 | 2.5x | 528 | 54% |
| ROC 모멘텀 n=59, threshold=0.02 |
1.6% | -76.9% | 0.21 | 0.02 | 2.0x | 505 | 51% |
| Buy and hold | 4.8% | -90.9% | 0.34 | 0.05 | 8.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/67) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line