Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aeva Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aeva Technologies, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 32.5%, MDD -31.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.2%, drawdown -97.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 32.5%, MDD -31.3%, Sharpe 1.01, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 48.7%p higher than buy and hold, while drawdown improves by 66.4%p (CAGR 32.5%, MDD -31.3%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=9, mult=4 |
32.5% | -31.3% | 1.01 | 1.04 | 6.2x | 6 | 8% |
| ADX / DI 방향성 period=17, threshold=33 |
29.9% | -34.2% | 0.91 | 0.87 | 5.5x | 6 | 8% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
25.5% | -47.9% | 0.70 | 0.53 | 4.4x | 14 | 18% |
| Donchian 채널 돌파 entryN=94, exitN=12 |
16.7% | -55.3% | 0.58 | 0.30 | 2.7x | 14 | 14% |
| SMA 크로스오버 fast=67, slow=135 |
17.4% | -77.9% | 0.56 | 0.22 | 2.8x | 11 | 36% |
| Supertrend period=9, mult=2.8 |
12.7% | -74.0% | 0.51 | 0.17 | 2.2x | 48 | 49% |
| EMA 크로스오버 fast=45, slow=287 |
12.6% | -75.7% | 0.49 | 0.17 | 2.2x | 3 | 22% |
| ROC 모멘텀 n=10, threshold=0.11 |
12.1% | -83.1% | 0.48 | 0.15 | 2.1x | 124 | 22% |
| MACD fast=14, slow=56, signal=19 |
-0.7% | -86.1% | 0.33 | -0.01 | 1.0x | 68 | 52% |
| Parabolic SAR step=0.045, maxStep=0.06 |
1.7% | -91.8% | 0.33 | 0.02 | 1.1x | 108 | 43% |
| Buy and hold | -16.2% | -97.7% | 0.26 | -0.17 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 27-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average