Trend-Following Backtester · Guide · backtest 한국어
equity · US
Callaway Golf Company backtest
10 trend-following strategies were compared on the full daily history of Callaway Golf Company. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -31.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.0%, drawdown -87.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -58.8%, Sharpe 0.40, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 3.4%, MDD -31.4%, exposure 8%).
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=13, slow=87 |
7.9% | -58.8% | 0.40 | 0.13 | 13.6x | 142 | 56% |
| EMA 크로스오버 fast=35, slow=74 |
6.5% | -71.3% | 0.36 | 0.09 | 8.8x | 81 | 55% |
| Donchian 채널 돌파 entryN=26, exitN=47 |
6.4% | -78.7% | 0.35 | 0.08 | 8.5x | 104 | 67% |
| ADX / DI 방향성 period=45, threshold=20 |
3.4% | -31.4% | 0.33 | 0.11 | 3.2x | 36 | 8% |
| Supertrend period=25, mult=5 |
5.5% | -74.2% | 0.33 | 0.07 | 6.2x | 104 | 56% |
| ROC 모멘텀 n=116, threshold=0.06 |
3.5% | -84.3% | 0.26 | 0.04 | 3.2x | 299 | 48% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
2.1% | -64.7% | 0.22 | 0.03 | 2.0x | 42 | 11% |
| MACD fast=22, slow=59, signal=17 |
-0.8% | -92.6% | 0.13 | -0.01 | 0.7x | 346 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=10, mult=3.3 |
0.4% | -82.4% | 0.12 | 0.00 | 1.2x | 106 | 24% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-4.4% | -95.3% | 0.01 | -0.05 | 0.2x | 456 | 52% |
| Buy and hold | 4.0% | -87.7% | 0.31 | 0.05 | 3.9x | 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 13-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 13-day average falls below the 87-day average