Trend-Following Backtester · Guide · backtest 한국어
equity · US
Angi Inc. backtest
10 trend-following strategies were compared on the full daily history of Angi Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.2%, MDD -32.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.4%, drawdown -98.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -41.2%, Sharpe 0.51, 13% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 29.5%p higher than buy and hold, while drawdown improves by 57.1%p (CAGR 8.2%, MDD -32.0%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.5 |
9.1% | -41.2% | 0.51 | 0.22 | 3.6x | 74 | 13% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=3.2 |
8.2% | -32.0% | 0.50 | 0.25 | 3.2x | 22 | 11% |
| ADX / DI 방향성 period=22, threshold=22 |
5.7% | -54.0% | 0.34 | 0.11 | 2.3x | 66 | 21% |
| Donchian 채널 돌파 entryN=116, exitN=14 |
4.9% | -57.9% | 0.33 | 0.09 | 2.0x | 26 | 13% |
| SMA 크로스오버 fast=22, slow=35 |
3.2% | -77.8% | 0.29 | 0.04 | 1.6x | 105 | 46% |
| Parabolic SAR step=0.01, maxStep=0.26 |
3.3% | -75.5% | 0.28 | 0.04 | 1.6x | 181 | 45% |
| Supertrend period=24, mult=3.7 |
1.8% | -71.1% | 0.23 | 0.02 | 1.3x | 62 | 42% |
| MACD fast=15, slow=48, signal=19 |
-2.0% | -88.8% | 0.19 | -0.02 | 0.7x | 155 | 51% |
| EMA 크로스오버 fast=30, slow=32 |
-2.3% | -69.9% | 0.12 | -0.03 | 0.7x | 70 | 41% |
| ROC 모멘텀 n=139, threshold=0.13 |
-2.0% | -72.3% | 0.08 | -0.03 | 0.7x | 78 | 27% |
| Buy and hold | -20.4% | -98.3% | -0.03 | -0.21 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 11-day middle average