Trend-Following Backtester · Guide · backtest 한국어
equity · US
Burlington Stores, Inc. backtest
10 trend-following strategies were compared on the full daily history of Burlington Stores, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.8%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.8%, drawdown -68.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -51.4%, Sharpe 0.62, 66% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.8%, MDD -51.5%, exposure 79%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.2%p lower than buy and hold, while drawdown improves by 17.4%p (CAGR 15.8%, MDD -51.5%, exposure 79%).
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=46, slow=124 |
14.6% | -51.4% | 0.62 | 0.28 | 5.8x | 19 | 66% |
| Donchian 채널 돌파 entryN=14, exitN=45 |
15.8% | -51.5% | 0.61 | 0.31 | 6.7x | 42 | 79% |
| EMA 크로스오버 fast=45, slow=213 |
13.4% | -53.0% | 0.56 | 0.25 | 5.1x | 13 | 72% |
| ROC 모멘텀 n=113, threshold=-0.04 |
12.4% | -36.0% | 0.56 | 0.34 | 4.5x | 72 | 70% |
| Parabolic SAR step=0.005, maxStep=0.26 |
11.8% | -40.8% | 0.54 | 0.29 | 4.2x | 114 | 59% |
| Supertrend period=23, mult=4.7 |
11.3% | -42.0% | 0.53 | 0.27 | 4.0x | 42 | 65% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=3.9 |
5.0% | -32.6% | 0.49 | 0.15 | 1.9x | 22 | 20% |
| 볼린저 밴드 돌파 n=25, k=3.1 |
4.6% | -16.6% | 0.46 | 0.28 | 1.8x | 24 | 12% |
| ADX / DI 방향성 period=26, threshold=26 |
3.1% | -22.8% | 0.39 | 0.14 | 1.5x | 18 | 11% |
| MACD fast=16, slow=56, signal=26 |
5.7% | -56.3% | 0.34 | 0.10 | 2.0x | 132 | 50% |
| Buy and hold | 19.8% | -68.9% | 0.65 | 0.29 | 10.3x | 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 46-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 46-day average falls below the 124-day average