Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aurora Innovation, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aurora Innovation, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.8%, MDD -40.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.3%, drawdown -93.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.2%, MDD -65.1%, Sharpe 0.64, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 34.6%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 6.8%, MDD -40.8%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=105, threshold=-0.02 |
24.2% | -65.1% | 0.64 | 0.37 | 3.2x | 39 | 45% |
| MACD fast=17, slow=51, signal=17 |
13.8% | -74.8% | 0.51 | 0.19 | 2.0x | 54 | 47% |
| EMA 크로스오버 fast=1, slow=129 |
13.7% | -63.9% | 0.51 | 0.21 | 2.0x | 44 | 39% |
| SMA 크로스오버 fast=8, slow=214 |
12.8% | -55.3% | 0.49 | 0.23 | 1.9x | 9 | 38% |
| ADX / DI 방향성 period=26, threshold=9 |
9.6% | -80.0% | 0.47 | 0.12 | 1.6x | 58 | 55% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=29, mult=2.3 |
9.7% | -51.0% | 0.41 | 0.19 | 1.6x | 18 | 10% |
| Donchian 채널 돌파 entryN=18, exitN=19 |
4.6% | -69.7% | 0.40 | 0.07 | 1.3x | 29 | 51% |
| Supertrend period=32, mult=4.7 |
6.8% | -51.2% | 0.39 | 0.13 | 1.4x | 18 | 32% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
6.8% | -40.8% | 0.35 | 0.17 | 1.4x | 8 | 5% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-6.4% | -73.7% | 0.21 | -0.09 | 0.7x | 112 | 44% |
| Buy and hold | -10.3% | -93.3% | 0.30 | -0.11 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 105-day return is greater than -2%
- Sell — Sell when the 105-day return drops to -2% or below