Trend-Following Backtester · Guide · backtest 한국어
equity · US
Warby Parker Inc. backtest
10 trend-following strategies were compared on the full daily history of Warby Parker Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.2%, MDD -14.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.7%, drawdown -83.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -43.3%, Sharpe 0.39, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.6%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 5.2%, MDD -14.7%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=25, exitN=16 |
7.9% | -43.3% | 0.39 | 0.18 | 1.5x | 24 | 42% |
| ADX / DI 방향성 period=19, threshold=35 |
5.2% | -14.7% | 0.37 | 0.36 | 1.3x | 6 | 8% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=29, mult=3.4 |
4.8% | -20.4% | 0.37 | 0.24 | 1.3x | 6 | 6% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
5.7% | -34.9% | 0.35 | 0.16 | 1.3x | 20 | 13% |
| EMA 크로스오버 fast=78, slow=251 |
5.7% | -50.7% | 0.34 | 0.11 | 1.3x | 3 | 47% |
| MACD fast=33, slow=34, signal=29 |
4.1% | -49.1% | 0.32 | 0.08 | 1.2x | 34 | 50% |
| SMA 크로스오버 fast=35, slow=47 |
2.6% | -59.4% | 0.27 | 0.04 | 1.1x | 34 | 50% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-0.7% | -51.6% | 0.21 | -0.01 | 1.0x | 133 | 46% |
| Supertrend period=5, mult=3.6 |
-3.1% | -65.5% | 0.19 | -0.05 | 0.9x | 26 | 62% |
| ROC 모멘텀 n=9, threshold=-0.02 |
-3.3% | -61.3% | 0.18 | -0.05 | 0.8x | 163 | 56% |
| Buy and hold | -12.7% | -83.7% | 0.12 | -0.15 | 0.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 25 days
- Sell — Sell when price breaks below the lowest low of the last 16 days