Trend-Following Backtester · Guide · backtest 한국어
equity · US
YETI Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of YETI Holdings, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.1%, MDD -39.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.8%, drawdown -75.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.2%, MDD -49.5%, Sharpe 0.68, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.3%, MDD -54.4%, exposure 79%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 14.1%, MDD -39.6%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=11, slow=35 |
20.2% | -49.5% | 0.68 | 0.41 | 4.2x | 58 | 54% |
| Donchian 채널 돌파 entryN=22, exitN=57 |
20.3% | -54.4% | 0.65 | 0.37 | 4.3x | 16 | 79% |
| ROC 모멘텀 n=148, threshold=0.14 |
14.1% | -39.6% | 0.63 | 0.36 | 2.8x | 52 | 37% |
| Supertrend period=5, mult=3.2 |
15.9% | -52.0% | 0.59 | 0.31 | 3.2x | 48 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
13.8% | -61.9% | 0.53 | 0.22 | 2.8x | 68 | 51% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
4.9% | -13.7% | 0.48 | 0.36 | 1.5x | 4 | 4% |
| EMA 크로스오버 fast=15, slow=29 |
10.6% | -68.1% | 0.46 | 0.16 | 2.2x | 52 | 55% |
| MACD fast=16, slow=25, signal=14 |
10.7% | -65.4% | 0.46 | 0.16 | 2.2x | 106 | 51% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=21, mult=3.4 |
6.0% | -36.7% | 0.39 | 0.16 | 1.6x | 20 | 17% |
| ADX / DI 방향성 period=18, threshold=36 |
3.4% | -24.2% | 0.35 | 0.14 | 1.3x | 10 | 5% |
| Buy and hold | 11.8% | -75.0% | 0.47 | 0.16 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 11-day average price crosses above the 35-day average
- Sell — Sell (to cash) when the 11-day average falls below the 35-day average