Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alarm.com Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alarm.com Holdings, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.8%, MDD -36.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.1%, drawdown -60.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -36.5%, Sharpe 0.59, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 12.8%, MDD -36.5%, exposure 47%).
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=31, slow=217 |
12.8% | -36.5% | 0.59 | 0.35 | 3.8x | 15 | 47% |
| EMA 크로스오버 fast=69, slow=136 |
11.8% | -46.7% | 0.55 | 0.25 | 3.5x | 17 | 52% |
| Donchian 채널 돌파 entryN=91, exitN=81 |
11.7% | -48.2% | 0.53 | 0.24 | 3.4x | 11 | 50% |
| MACD fast=16, slow=44, signal=16 |
10.1% | -60.5% | 0.50 | 0.17 | 2.9x | 127 | 52% |
| ROC 모멘텀 n=170, threshold=0.09 |
8.8% | -35.5% | 0.47 | 0.25 | 2.6x | 50 | 43% |
| 볼린저 밴드 돌파 n=34, k=1.1 |
7.6% | -49.2% | 0.42 | 0.15 | 2.2x | 103 | 41% |
| Supertrend period=8, mult=2.8 |
4.8% | -70.7% | 0.31 | 0.07 | 1.7x | 81 | 50% |
| ADX / DI 방향성 period=12, threshold=28 |
2.8% | -28.3% | 0.27 | 0.10 | 1.4x | 65 | 14% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=3.8 |
3.0% | -31.0% | 0.27 | 0.10 | 1.4x | 25 | 19% |
| Parabolic SAR step=0.01, maxStep=0.12 |
2.4% | -59.3% | 0.22 | 0.04 | 1.3x | 149 | 50% |
| Buy and hold | 11.1% | -60.9% | 0.47 | 0.18 | 3.2x | 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 31-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 31-day average falls below the 217-day average