Trend-Following Backtester · Guide · backtest 한국어
equity · US
Movado Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Movado Group Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.2%, MDD -57.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -86.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -57.2%, Sharpe 0.43, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 9.2%, MDD -57.2%, exposure 58%).
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=60, slow=125 |
9.2% | -57.2% | 0.43 | 0.16 | 18.2x | 71 | 58% |
| EMA 크로스오버 fast=51, slow=208 |
7.4% | -64.6% | 0.38 | 0.11 | 10.4x | 41 | 58% |
| ROC 모멘텀 n=173, threshold=-0.02 |
5.0% | -72.0% | 0.31 | 0.07 | 5.0x | 215 | 61% |
| Donchian 채널 돌파 entryN=38, exitN=93 |
4.5% | -84.3% | 0.31 | 0.05 | 4.3x | 65 | 76% |
| Supertrend period=18, mult=5 |
2.1% | -87.5% | 0.23 | 0.02 | 2.0x | 103 | 57% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
2.4% | -68.3% | 0.22 | 0.04 | 2.2x | 89 | 25% |
| ADX / DI 방향성 period=29, threshold=31 |
0.4% | -26.1% | 0.09 | 0.02 | 1.1x | 22 | 6% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=3.5 |
-1.7% | -82.3% | 0.01 | -0.02 | 0.6x | 99 | 25% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-6.3% | -98.4% | -0.03 | -0.06 | 0.1x | 554 | 52% |
| MACD fast=11, slow=22, signal=14 |
-6.8% | -97.7% | -0.03 | -0.07 | 0.1x | 582 | 49% |
| Buy and hold | 7.3% | -86.4% | 0.39 | 0.08 | 10.2x | 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 60-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 60-day average falls below the 125-day average