Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carter's, Inc. backtest
10 trend-following strategies were compared on the full daily history of Carter's, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.7%, drawdown -80.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.7%, MDD -72.4%, Sharpe 0.27, 74% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=32, exitN=86 |
3.7% | -72.4% | 0.27 | 0.05 | 2.3x | 43 | 74% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
1.9% | -36.5% | 0.27 | 0.05 | 1.5x | 16 | 9% |
| ADX / DI 방향성 period=30, threshold=35 |
0.4% | -4.6% | 0.23 | 0.08 | 1.1x | 4 | 1% |
| SMA 크로스오버 fast=24, slow=240 |
2.4% | -66.9% | 0.22 | 0.04 | 1.7x | 39 | 55% |
| EMA 크로스오버 fast=57, slow=185 |
2.2% | -66.0% | 0.21 | 0.03 | 1.6x | 27 | 54% |
| ROC 모멘텀 n=256, threshold=0.09 |
2.1% | -71.7% | 0.21 | 0.03 | 1.6x | 109 | 43% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=4 |
0.1% | -4.6% | 0.07 | 0.02 | 1.0x | 2 | 0% |
| Supertrend period=18, mult=3.5 |
-2.7% | -71.8% | 0.01 | -0.04 | 0.5x | 132 | 52% |
| MACD fast=22, slow=67, signal=22 |
-6.4% | -83.3% | -0.13 | -0.08 | 0.2x | 192 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-18.3% | -99.3% | -0.64 | -0.18 | 0.0x | 426 | 53% |
| Buy and hold | 3.7% | -80.7% | 0.28 | 0.05 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 32 days
- Sell — Sell when price breaks below the lowest low of the last 86 days