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 22.4%, MDD -18.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.5%, drawdown -80.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 52.6%, MDD -40.2%, Sharpe 1.17, 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 22.4%, 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 |
52.6% | -40.2% | 1.17 | 1.31 | 8.7x | 62 | 45% |
| ADX / DI 방향성 period=14, threshold=35 |
22.4% | -18.7% | 1.04 | 1.20 | 2.8x | 12 | 15% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=1.7 |
36.4% | -29.5% | 0.97 | 1.23 | 4.9x | 19 | 37% |
| Supertrend period=11, mult=2.2 |
42.7% | -46.4% | 0.96 | 0.92 | 6.2x | 46 | 56% |
| ROC 모멘텀 n=53, threshold=0.15 |
33.9% | -38.9% | 0.95 | 0.87 | 4.4x | 34 | 32% |
| Parabolic SAR step=0.02, maxStep=0.22 |
40.3% | -43.3% | 0.93 | 0.93 | 5.6x | 105 | 51% |
| MACD fast=16, slow=32, signal=8 |
39.8% | -48.7% | 0.92 | 0.82 | 5.5x | 70 | 51% |
| Donchian 채널 돌파 entryN=105, exitN=14 |
20.9% | -38.9% | 0.83 | 0.54 | 2.6x | 14 | 24% |
| EMA 크로스오버 fast=2, slow=60 |
23.8% | -48.9% | 0.69 | 0.49 | 3.0x | 49 | 47% |
| SMA 크로스오버 fast=32, slow=79 |
19.4% | -48.4% | 0.64 | 0.40 | 2.5x | 17 | 45% |
| Buy and hold | 14.5% | -80.9% | 0.53 | 0.18 | 2.0x | 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