Trend-Following Backtester · Guide · backtest 한국어
equity · US
Camping World Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Camping World Holdings, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.3%, MDD -27.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.0%, drawdown -91.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.2%, MDD -34.2%, Sharpe 0.70, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.7%, MDD -60.6%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.2%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR 11.3%, MDD -27.9%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=24, threshold=0.21 |
15.2% | -34.2% | 0.70 | 0.45 | 4.1x | 102 | 12% |
| 볼린저 밴드 돌파 n=26, k=3 |
11.3% | -27.9% | 0.65 | 0.40 | 2.9x | 12 | 8% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=14, mult=1.9 |
15.2% | -50.1% | 0.64 | 0.30 | 4.1x | 50 | 23% |
| SMA 크로스오버 fast=19, slow=26 |
17.7% | -60.6% | 0.61 | 0.29 | 5.1x | 110 | 47% |
| ADX / DI 방향성 period=42, threshold=18 |
11.9% | -45.6% | 0.59 | 0.26 | 3.1x | 14 | 10% |
| Donchian 채널 돌파 entryN=31, exitN=13 |
14.3% | -55.2% | 0.59 | 0.26 | 3.8x | 38 | 27% |
| Supertrend period=9, mult=4.9 |
14.3% | -47.6% | 0.54 | 0.30 | 3.8x | 24 | 45% |
| EMA 크로스오버 fast=4, slow=198 |
4.6% | -61.8% | 0.30 | 0.08 | 1.6x | 32 | 35% |
| MACD fast=18, slow=59, signal=24 |
0.3% | -74.3% | 0.22 | 0.00 | 1.0x | 90 | 49% |
| Parabolic SAR step=0.005, maxStep=0.04 |
-1.1% | -80.9% | 0.16 | -0.01 | 0.9x | 68 | 47% |
| Buy and hold | -14.0% | -91.8% | 0.07 | -0.15 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 24-day return is greater than 21%
- Sell — Sell when the 24-day return drops to 21% or below