Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ambarella, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ambarella, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.5%, MDD -61.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.1%, drawdown -81.7%).
Sharpe leader (same as main): Supertrend — CAGR 17.5%, MDD -61.9%, Sharpe 0.60, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 19.8%p (CAGR 17.5%, MDD -61.9%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=4.8 |
17.5% | -61.9% | 0.60 | 0.28 | 9.4x | 49 | 52% |
| Donchian 채널 돌파 entryN=8, exitN=31 |
14.2% | -78.8% | 0.52 | 0.18 | 6.3x | 85 | 75% |
| SMA 크로스오버 fast=44, slow=86 |
13.5% | -79.1% | 0.51 | 0.17 | 5.8x | 39 | 55% |
| ROC 모멘텀 n=44, threshold=-0.04 |
12.8% | -77.7% | 0.49 | 0.16 | 5.3x | 161 | 62% |
| 볼린저 밴드 돌파 n=13, k=1.1 |
11.6% | -59.2% | 0.48 | 0.20 | 4.6x | 282 | 43% |
| ADX / DI 방향성 period=22, threshold=9 |
12.1% | -62.5% | 0.48 | 0.19 | 4.9x | 210 | 56% |
| Parabolic SAR step=0.015, maxStep=0.2 |
11.5% | -77.7% | 0.47 | 0.15 | 4.5x | 237 | 51% |
| EMA 크로스오버 fast=29, slow=83 |
10.3% | -72.8% | 0.44 | 0.14 | 3.9x | 39 | 53% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=9, mult=1.5 |
9.4% | -71.6% | 0.43 | 0.13 | 3.5x | 74 | 45% |
| MACD fast=16, slow=58, signal=15 |
2.0% | -78.9% | 0.26 | 0.03 | 1.3x | 172 | 52% |
| Buy and hold | 19.1% | -81.7% | 0.60 | 0.23 | 11.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)