Trend-Following Backtester · Guide · backtest 한국어
equity · US
Macy's Inc backtest
10 trend-following strategies were compared on the full daily history of Macy's Inc. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -47.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.7%, drawdown -93.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -47.3%, Sharpe 0.46, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 9.5%, MDD -47.3%, exposure 53%).
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=98 |
9.5% | -47.3% | 0.46 | 0.20 | 22.8x | 107 | 53% |
| ROC 모멘텀 n=131, threshold=-0.03 |
8.3% | -55.1% | 0.42 | 0.15 | 15.8x | 225 | 61% |
| EMA 크로스오버 fast=31, slow=53 |
8.0% | -54.1% | 0.41 | 0.15 | 14.4x | 109 | 53% |
| Donchian 채널 돌파 entryN=62, exitN=51 |
7.4% | -53.7% | 0.40 | 0.14 | 11.7x | 76 | 51% |
| Supertrend period=12, mult=5 |
5.2% | -63.2% | 0.32 | 0.08 | 5.7x | 99 | 53% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
4.0% | -54.6% | 0.29 | 0.07 | 3.9x | 78 | 23% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=16, mult=3.2 |
3.1% | -63.8% | 0.25 | 0.05 | 2.8x | 104 | 22% |
| ADX / DI 방향성 period=38, threshold=18 |
2.3% | -39.6% | 0.22 | 0.06 | 2.2x | 70 | 16% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.8% | -92.4% | 0.05 | -0.03 | 0.4x | 308 | 54% |
| MACD fast=19, slow=57, signal=19 |
-4.4% | -88.7% | 0.01 | -0.05 | 0.2x | 368 | 51% |
| Buy and hold | 2.7% | -93.9% | 0.28 | 0.03 | 2.5x | 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 13-day average price crosses above the 98-day average
- Sell — Sell (to cash) when the 13-day average falls below the 98-day average