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 19.4%, MDD -61.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.1%, drawdown -81.7%).
Sharpe leader (same as main): Supertrend — CAGR 19.4%, MDD -61.9%, Sharpe 0.64, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 19.8%p (CAGR 19.4%, MDD -61.9%, exposure 51%).
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 |
19.4% | -61.9% | 0.64 | 0.31 | 11.6x | 49 | 51% |
| Donchian 채널 돌파 entryN=8, exitN=31 |
16.1% | -78.8% | 0.55 | 0.20 | 7.8x | 85 | 75% |
| SMA 크로스오버 fast=44, slow=86 |
15.4% | -79.1% | 0.54 | 0.19 | 7.2x | 39 | 55% |
| ROC 모멘텀 n=44, threshold=-0.04 |
14.4% | -77.7% | 0.52 | 0.18 | 6.4x | 160 | 62% |
| Parabolic SAR step=0.015, maxStep=0.2 |
13.3% | -77.7% | 0.51 | 0.17 | 5.6x | 236 | 51% |
| ADX / DI 방향성 period=22, threshold=9 |
13.4% | -62.5% | 0.51 | 0.22 | 5.7x | 209 | 56% |
| 볼린저 밴드 돌파 n=13, k=1.1 |
12.5% | -59.2% | 0.50 | 0.21 | 5.1x | 281 | 43% |
| EMA 크로스오버 fast=29, slow=83 |
12.1% | -72.8% | 0.48 | 0.17 | 4.9x | 39 | 53% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=9, mult=1.5 |
10.9% | -66.0% | 0.46 | 0.17 | 4.2x | 72 | 45% |
| MACD fast=16, slow=58, signal=15 |
3.4% | -78.9% | 0.29 | 0.04 | 1.6x | 170 | 52% |
| Buy and hold | 21.1% | -81.7% | 0.62 | 0.26 | 14.1x | 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)