Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ralph Lauren Corporation backtest
10 trend-following strategies were compared on the full daily history of Ralph Lauren Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -68.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -65.6%, Sharpe 0.32, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=15, slow=200 |
5.1% | -65.6% | 0.32 | 0.08 | 4.3x | 63 | 59% |
| EMA 크로스오버 fast=33, slow=192 |
4.8% | -70.8% | 0.31 | 0.07 | 3.9x | 47 | 61% |
| Donchian 채널 돌파 entryN=4, exitN=60 |
3.7% | -69.0% | 0.28 | 0.05 | 2.9x | 122 | 90% |
| ROC 모멘텀 n=175, threshold=0.04 |
3.0% | -57.6% | 0.24 | 0.05 | 2.4x | 184 | 54% |
| Supertrend period=24, mult=3.8 |
2.5% | -67.6% | 0.23 | 0.04 | 2.1x | 144 | 54% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=24, mult=1.3 |
0.4% | -72.5% | 0.13 | 0.01 | 1.1x | 190 | 49% |
| ADX / DI 방향성 period=32, threshold=26 |
0.5% | -24.7% | 0.11 | 0.02 | 1.2x | 24 | 4% |
| 볼린저 밴드 돌파 n=53, k=2 |
-2.4% | -78.3% | -0.02 | -0.03 | 0.5x | 146 | 37% |
| MACD fast=18, slow=52, signal=16 |
-4.4% | -81.1% | -0.04 | -0.05 | 0.3x | 364 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-5.2% | -86.2% | -0.06 | -0.06 | 0.2x | 414 | 53% |
| Buy and hold | 8.5% | -68.8% | 0.40 | 0.12 | 11.0x | 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 15-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 15-day average falls below the 200-day average