Trend-Following Backtester · Guide · backtest 한국어
equity · US
Affirm Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Affirm Holdings, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 36.3%, MDD -45.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.6%, drawdown -94.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 35.3%, MDD -53.2%, Sharpe 0.80, 35% exposure.
CAGR reference leader: Supertrend — CAGR 36.3%, MDD -45.8%, exposure 43%.
Return/drawdown alternative: Supertrend — CAGR is 39.9%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 36.3%, MDD -45.8%, exposure 43%).
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=32, atrPeriod=14, mult=1 |
35.3% | -53.2% | 0.80 | 0.66 | 5.5x | 50 | 35% |
| Supertrend period=16, mult=3.9 |
36.3% | -45.8% | 0.80 | 0.79 | 5.7x | 21 | 43% |
| EMA 크로스오버 fast=8, slow=41 |
32.7% | -47.9% | 0.76 | 0.68 | 4.9x | 27 | 45% |
| 볼린저 밴드 돌파 n=30, k=0.8 |
31.2% | -61.8% | 0.74 | 0.51 | 4.6x | 57 | 39% |
| Parabolic SAR step=0.01, maxStep=0.38 |
31.9% | -60.1% | 0.74 | 0.53 | 4.7x | 77 | 47% |
| SMA 크로스오버 fast=6, slow=80 |
25.3% | -59.7% | 0.66 | 0.42 | 3.6x | 27 | 46% |
| ROC 모멘텀 n=58, threshold=0.01 |
22.1% | -78.7% | 0.62 | 0.28 | 3.1x | 67 | 48% |
| MACD fast=17, slow=56, signal=10 |
18.4% | -76.3% | 0.58 | 0.24 | 2.6x | 72 | 50% |
| Donchian 채널 돌파 entryN=85, exitN=42 |
15.6% | -55.7% | 0.53 | 0.28 | 2.3x | 9 | 35% |
| ADX / DI 방향성 period=23, threshold=12 |
13.8% | -56.4% | 0.51 | 0.24 | 2.1x | 66 | 44% |
| Buy and hold | -4.6% | -94.7% | 0.41 | -0.05 | 0.8x | 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 32-day average + 1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average