Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tapestry, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tapestry, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.0%, MDD -49.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.3%, drawdown -86.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.0%, MDD -49.1%, Sharpe 0.69, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 37.5%p (CAGR 17.0%, MDD -49.1%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=211 |
17.0% | -49.1% | 0.69 | 0.35 | 57.1x | 29 | 61% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=18, mult=3.5 |
12.4% | -46.9% | 0.67 | 0.26 | 20.4x | 66 | 36% |
| SMA 크로스오버 fast=30, slow=44 |
15.9% | -59.2% | 0.65 | 0.27 | 45.5x | 149 | 58% |
| Supertrend period=23, mult=5 |
14.7% | -51.6% | 0.63 | 0.28 | 34.1x | 72 | 57% |
| Donchian 채널 돌파 entryN=114, exitN=29 |
11.1% | -39.8% | 0.61 | 0.28 | 15.0x | 52 | 35% |
| 볼린저 밴드 돌파 n=69, k=1.7 |
11.1% | -62.8% | 0.58 | 0.18 | 15.3x | 91 | 41% |
| ROC 모멘텀 n=145, threshold=0.05 |
11.3% | -68.2% | 0.54 | 0.17 | 15.9x | 165 | 54% |
| MACD fast=24, slow=37, signal=31 |
8.8% | -62.0% | 0.44 | 0.14 | 8.8x | 221 | 53% |
| ADX / DI 방향성 period=34, threshold=15 |
5.3% | -70.1% | 0.37 | 0.08 | 3.8x | 146 | 29% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.1% | -89.4% | 0.18 | 0.01 | 1.3x | 231 | 57% |
| Buy and hold | 17.3% | -86.6% | 0.59 | 0.20 | 62.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 211-day EMA
- Sell — Sell when the 36-day EMA falls below the 211-day EMA