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.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.3%, MDD -39.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.5%, drawdown -75.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.5%, MDD -49.5%, Sharpe 0.73, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 22.7%, MDD -54.4%, exposure 79%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 14.3%, 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 |
22.5% | -49.5% | 0.73 | 0.45 | 4.8x | 57 | 54% |
| Donchian 채널 돌파 entryN=22, exitN=57 |
22.7% | -54.4% | 0.69 | 0.42 | 4.9x | 15 | 79% |
| ROC 모멘텀 n=148, threshold=0.14 |
14.3% | -39.6% | 0.63 | 0.36 | 2.8x | 50 | 37% |
| Supertrend period=5, mult=3.2 |
17.3% | -52.0% | 0.62 | 0.33 | 3.4x | 47 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
15.1% | -61.9% | 0.56 | 0.24 | 3.0x | 67 | 51% |
| EMA 크로스오버 fast=15, slow=29 |
12.1% | -68.1% | 0.50 | 0.18 | 2.4x | 51 | 55% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
5.0% | -13.7% | 0.48 | 0.36 | 1.5x | 4 | 4% |
| MACD fast=16, slow=25, signal=14 |
11.3% | -65.4% | 0.47 | 0.17 | 2.3x | 104 | 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 | 14.5% | -75.0% | 0.52 | 0.19 | 2.9x | 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