Trend-Following Backtester · Guide · backtest 한국어
equity · US
Designer Brands Inc. backtest
10 trend-following strategies were compared on the full daily history of Designer Brands Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -15.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.2%, drawdown -95.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -62.4%, Sharpe 0.46, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 3.1%, MDD -15.1%, exposure 3%).
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=59, slow=181 |
10.5% | -62.4% | 0.46 | 0.17 | 8.2x | 25 | 48% |
| Donchian 채널 돌파 entryN=110, exitN=69 |
7.4% | -61.6% | 0.38 | 0.12 | 4.5x | 23 | 41% |
| ADX / DI 방향성 period=27, threshold=33 |
3.1% | -15.1% | 0.35 | 0.20 | 1.9x | 8 | 3% |
| EMA 크로스오버 fast=65, slow=158 |
5.5% | -80.1% | 0.33 | 0.07 | 3.1x | 25 | 49% |
| ROC 모멘텀 n=121, threshold=0.04 |
2.6% | -65.4% | 0.25 | 0.04 | 1.7x | 186 | 44% |
| Keltner 채널 돌파 emaPeriod=90, atrPeriod=12, mult=2.2 |
2.3% | -71.8% | 0.23 | 0.03 | 1.6x | 76 | 36% |
| Supertrend period=20, mult=4.4 |
-1.8% | -86.1% | 0.14 | -0.02 | 0.7x | 72 | 49% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-5.9% | -94.0% | 0.07 | -0.06 | 0.3x | 289 | 51% |
| 볼린저 밴드 돌파 n=54, k=2.4 |
-2.4% | -70.4% | 0.03 | -0.03 | 0.6x | 58 | 20% |
| MACD fast=10, slow=33, signal=11 |
-10.3% | -97.2% | -0.04 | -0.11 | 0.1x | 389 | 51% |
| Buy and hold | -3.2% | -95.3% | 0.25 | -0.03 | 0.5x | 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 59-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 59-day average falls below the 181-day average