Trend-Following Backtester · Guide · backtest 한국어
equity · US
Digital Turbine, Inc. backtest
10 trend-following strategies were compared on the full daily history of Digital Turbine, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 8.4%, drawdown -98.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.1%, MDD -87.1%, Sharpe 0.59, 47% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=12, slow=100 |
20.1% | -87.1% | 0.59 | 0.23 | 39.8x | 59 | 47% |
| Donchian 채널 돌파 entryN=54, exitN=59 |
17.8% | -91.2% | 0.57 | 0.19 | 26.9x | 31 | 55% |
| EMA 크로스오버 fast=19, slow=191 |
15.1% | -82.0% | 0.52 | 0.18 | 16.9x | 29 | 45% |
| Parabolic SAR step=0.005, maxStep=0.3 |
7.2% | -95.9% | 0.44 | 0.08 | 4.1x | 149 | 46% |
| ADX / DI 방향성 period=21, threshold=21 |
9.8% | -83.1% | 0.40 | 0.12 | 6.5x | 123 | 22% |
| ROC 모멘텀 n=147, threshold=0 |
5.8% | -96.4% | 0.40 | 0.06 | 3.1x | 153 | 47% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=16, mult=2.8 |
6.3% | -90.2% | 0.37 | 0.07 | 3.4x | 61 | 29% |
| 볼린저 밴드 돌파 n=56, k=2 |
4.7% | -92.1% | 0.34 | 0.05 | 2.5x | 77 | 30% |
| Supertrend period=20, mult=4.8 |
-7.2% | -99.7% | 0.25 | -0.07 | 0.2x | 85 | 52% |
| MACD fast=26, slow=52, signal=28 |
-19.9% | -99.9% | 0.06 | -0.20 | 0.0x | 184 | 54% |
| Buy and hold | 8.4% | -98.7% | 0.62 | 0.09 | 5.1x | 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 12-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 12-day average falls below the 100-day average