Trend-Following Backtester · Guide · backtest 한국어
equity · US
Revolve Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Revolve Group, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.8%, MDD -31.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -85.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.8%, MDD -31.0%, Sharpe 0.70, 32% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 22.1%, MDD -49.8%, exposure 46%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 54.8%p (CAGR 20.8%, MDD -31.0%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=111, threshold=0.18 |
20.8% | -31.0% | 0.70 | 0.67 | 3.9x | 44 | 32% |
| Donchian 채널 돌파 entryN=61, exitN=42 |
22.1% | -49.8% | 0.68 | 0.44 | 4.2x | 11 | 46% |
| ADX / DI 방향성 period=39, threshold=8 |
19.3% | -62.2% | 0.62 | 0.31 | 3.5x | 55 | 46% |
| SMA 크로스오버 fast=56, slow=165 |
17.5% | -63.0% | 0.59 | 0.28 | 3.2x | 12 | 46% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=33, mult=2.1 |
14.7% | -43.7% | 0.55 | 0.34 | 2.7x | 19 | 33% |
| EMA 크로스오버 fast=37, slow=57 |
14.2% | -62.7% | 0.52 | 0.23 | 2.6x | 19 | 46% |
| Parabolic SAR step=0.015, maxStep=0.08 |
11.7% | -68.0% | 0.47 | 0.17 | 2.2x | 101 | 49% |
| MACD fast=15, slow=47, signal=10 |
8.0% | -66.6% | 0.39 | 0.12 | 1.7x | 91 | 53% |
| 볼린저 밴드 돌파 n=64, k=1.7 |
5.3% | -55.4% | 0.32 | 0.10 | 1.4x | 25 | 32% |
| Supertrend period=14, mult=2.3 |
4.5% | -67.5% | 0.32 | 0.07 | 1.4x | 61 | 45% |
| Buy and hold | -4.2% | -85.7% | 0.26 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 111-day return is greater than 18%
- Sell — Sell when the 111-day return drops to 18% or below