Trend-Following Backtester · Guide · backtest 한국어
equity · US
Airbnb, Inc. backtest
10 trend-following strategies were compared on the full daily history of Airbnb, Inc.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.6%, MDD -35.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.7%, drawdown -62.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -35.0%, Sharpe 0.34, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 5.6%, MDD -35.0%, exposure 40%).
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=16, k=1.1 |
5.6% | -35.0% | 0.34 | 0.16 | 1.4x | 91 | 40% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=11, mult=0.8 |
4.5% | -36.3% | 0.30 | 0.12 | 1.3x | 65 | 38% |
| MACD fast=7, slow=50, signal=21 |
2.7% | -46.3% | 0.23 | 0.06 | 1.2x | 75 | 46% |
| Supertrend period=20, mult=1.7 |
2.5% | -48.1% | 0.23 | 0.05 | 1.1x | 79 | 52% |
| SMA 크로스오버 fast=58, slow=148 |
-0.1% | -46.4% | 0.13 | -0.00 | 1.0x | 11 | 45% |
| Donchian 채널 돌파 entryN=10, exitN=77 |
-4.5% | -63.5% | 0.07 | -0.07 | 0.8x | 21 | 82% |
| Parabolic SAR step=0.045, maxStep=0.32 |
-3.2% | -43.4% | 0.05 | -0.07 | 0.8x | 197 | 54% |
| ROC 모멘텀 n=32, threshold=-0.11 |
-7.1% | -58.8% | -0.01 | -0.12 | 0.7x | 65 | 81% |
| ADX / DI 방향성 period=7, threshold=31 |
-2.7% | -33.2% | -0.04 | -0.08 | 0.9x | 82 | 23% |
| EMA 크로스오버 fast=23, slow=90 |
-10.0% | -61.5% | -0.27 | -0.16 | 0.6x | 23 | 45% |
| Buy and hold | 0.7% | -62.0% | 0.24 | 0.01 | 1.0x | 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 16-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 16-day middle average