Trend-Following Backtester · Guide · backtest 한국어
equity · US
Caleres, Inc. backtest
10 trend-following strategies were compared on the full daily history of Caleres, Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.4%, MDD -45.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.0%, drawdown -94.3%).
Sharpe leader (same as main): Supertrend — CAGR 7.7%, MDD -67.3%, Sharpe 0.39, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 4.4%, MDD -45.9%, exposure 20%).
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=27, mult=5 |
7.7% | -67.3% | 0.39 | 0.11 | 31.1x | 137 | 58% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
4.4% | -45.9% | 0.34 | 0.10 | 7.4x | 100 | 20% |
| Donchian 채널 돌파 entryN=57, exitN=75 |
5.7% | -80.2% | 0.33 | 0.07 | 12.9x | 87 | 61% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=2.4 |
4.5% | -56.3% | 0.31 | 0.08 | 7.5x | 226 | 33% |
| ADX / DI 방향성 period=31, threshold=19 |
3.7% | -64.1% | 0.31 | 0.06 | 5.4x | 130 | 18% |
| EMA 크로스오버 fast=32, slow=53 |
4.1% | -72.9% | 0.28 | 0.06 | 6.4x | 148 | 55% |
| SMA 크로스오버 fast=18, slow=111 |
3.4% | -68.1% | 0.26 | 0.05 | 4.7x | 132 | 54% |
| MACD fast=23, slow=58, signal=17 |
3.2% | -72.9% | 0.26 | 0.04 | 4.3x | 449 | 50% |
| ROC 모멘텀 n=48, threshold=-0.09 |
2.5% | -84.9% | 0.24 | 0.03 | 3.1x | 497 | 74% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.0% | -96.6% | 0.09 | -0.02 | 0.4x | 378 | 53% |
| Buy and hold | 3.0% | -94.3% | 0.30 | 0.03 | 3.9x | 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) — 27-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)