Trend-Following Backtester · Guide · backtest 한국어
equity · US
Victorias Secret & Co. backtest
10 trend-following strategies were compared on the full daily history of Victorias Secret & Co.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 22.8%, MDD -18.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 15.6%, drawdown -80.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 53.8%, MDD -40.2%, Sharpe 1.18, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 38.1%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 22.8%, MDD -18.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=0.9 |
53.8% | -40.2% | 1.18 | 1.34 | 8.7x | 61 | 45% |
| ADX / DI 방향성 period=14, threshold=35 |
22.8% | -18.7% | 1.04 | 1.22 | 2.8x | 12 | 15% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=1.7 |
38.2% | -29.5% | 1.00 | 1.29 | 5.1x | 19 | 35% |
| ROC 모멘텀 n=53, threshold=0.15 |
36.4% | -38.9% | 1.00 | 0.93 | 4.8x | 29 | 31% |
| Supertrend period=11, mult=2.2 |
43.6% | -46.4% | 0.97 | 0.94 | 6.2x | 45 | 56% |
| Parabolic SAR step=0.02, maxStep=0.22 |
41.8% | -43.3% | 0.95 | 0.96 | 5.8x | 103 | 51% |
| MACD fast=16, slow=32, signal=8 |
41.6% | -48.7% | 0.95 | 0.85 | 5.8x | 68 | 52% |
| Donchian 채널 돌파 entryN=105, exitN=14 |
22.7% | -38.9% | 0.89 | 0.58 | 2.8x | 13 | 23% |
| EMA 크로스오버 fast=2, slow=60 |
25.2% | -48.9% | 0.72 | 0.51 | 3.1x | 49 | 46% |
| SMA 크로스오버 fast=32, slow=79 |
20.7% | -48.4% | 0.67 | 0.43 | 2.6x | 17 | 44% |
| Buy and hold | 15.6% | -80.9% | 0.55 | 0.19 | 2.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 20-day average (0.9× volatility)
- Sell — Sell when the close falls back to the 20-day middle average