Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alkami Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alkami Technology, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.3%, MDD -10.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.1%, drawdown -79.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.4%, MDD -29.8%, Sharpe 0.63, 34% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.5%, MDD -30.4%, exposure 41%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.5%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 4.3%, MDD -10.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=12, slow=211 |
12.4% | -29.8% | 0.63 | 0.42 | 1.9x | 4 | 34% |
| SMA 크로스오버 fast=8, slow=158 |
12.5% | -30.4% | 0.58 | 0.41 | 1.9x | 8 | 41% |
| ROC 모멘텀 n=140, threshold=0.13 |
9.4% | -24.7% | 0.51 | 0.38 | 1.6x | 38 | 32% |
| Donchian 채널 돌파 entryN=80, exitN=53 |
9.1% | -35.6% | 0.46 | 0.26 | 1.6x | 4 | 41% |
| ADX / DI 방향성 period=26, threshold=25 |
4.3% | -10.9% | 0.44 | 0.39 | 1.2x | 8 | 8% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
5.5% | -16.4% | 0.43 | 0.34 | 1.3x | 8 | 16% |
| Supertrend period=23, mult=1.9 |
-2.1% | -50.4% | 0.09 | -0.04 | 0.9x | 65 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3.8 |
-0.3% | -15.0% | 0.06 | -0.02 | 1.0x | 8 | 16% |
| MACD fast=23, slow=58, signal=24 |
-7.7% | -56.4% | -0.08 | -0.14 | 0.7x | 37 | 50% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-11.5% | -56.2% | -0.24 | -0.21 | 0.5x | 137 | 51% |
| Buy and hold | -15.1% | -79.0% | -0.09 | -0.19 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 12-day EMA crosses above the 211-day EMA
- Sell — Sell when the 12-day EMA falls below the 211-day EMA