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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.5%, MDD -36.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.4%, drawdown -91.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.0%, MDD -40.6%, Sharpe 0.64, 16% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.0%, MDD -44.4%, exposure 19%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.4%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 6.5%, MDD -36.0%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=2.8 |
13.0% | -40.6% | 0.64 | 0.32 | 3.3x | 28 | 16% |
| ROC 모멘텀 n=22, threshold=0.14 |
14.0% | -44.4% | 0.61 | 0.31 | 3.6x | 138 | 19% |
| Donchian 채널 돌파 entryN=31, exitN=10 |
13.0% | -58.6% | 0.56 | 0.22 | 3.3x | 42 | 25% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=16, mult=1.8 |
12.5% | -60.2% | 0.55 | 0.21 | 3.2x | 58 | 24% |
| Supertrend period=11, mult=4.7 |
13.4% | -54.1% | 0.52 | 0.25 | 3.4x | 26 | 45% |
| SMA 크로스오버 fast=13, slow=29 |
10.9% | -60.9% | 0.46 | 0.18 | 2.8x | 84 | 47% |
| ADX / DI 방향성 period=14, threshold=35 |
6.5% | -36.0% | 0.43 | 0.18 | 1.8x | 18 | 8% |
| MACD fast=19, slow=71, signal=12 |
3.5% | -68.0% | 0.29 | 0.05 | 1.4x | 100 | 49% |
| EMA 크로스오버 fast=9, slow=195 |
1.1% | -65.4% | 0.20 | 0.02 | 1.1x | 22 | 36% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-8.3% | -86.0% | -0.01 | -0.10 | 0.4x | 86 | 48% |
| Buy and hold | -12.4% | -91.8% | 0.11 | -0.13 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 24-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 24-day middle average