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 6.9%, MDD -40.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.1%, drawdown -93.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.9%, MDD -65.1%, Sharpe 0.68, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 36.1%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 6.9%, 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 |
27.9% | -65.1% | 0.68 | 0.43 | 3.6x | 39 | 44% |
| MACD fast=17, slow=51, signal=17 |
17.7% | -74.8% | 0.57 | 0.24 | 2.3x | 52 | 47% |
| EMA 크로스오버 fast=1, slow=129 |
16.8% | -63.9% | 0.55 | 0.26 | 2.2x | 43 | 38% |
| SMA 크로스오버 fast=8, slow=214 |
16.0% | -55.3% | 0.54 | 0.29 | 2.2x | 9 | 37% |
| ADX / DI 방향성 period=26, threshold=9 |
10.9% | -80.0% | 0.49 | 0.14 | 1.7x | 57 | 55% |
| Donchian 채널 돌파 entryN=18, exitN=19 |
8.6% | -69.7% | 0.45 | 0.12 | 1.5x | 28 | 50% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=29, mult=2.3 |
9.8% | -51.0% | 0.42 | 0.19 | 1.6x | 18 | 10% |
| Supertrend period=32, mult=4.7 |
6.9% | -51.2% | 0.39 | 0.14 | 1.4x | 18 | 33% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
6.9% | -40.8% | 0.35 | 0.17 | 1.4x | 8 | 5% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-4.6% | -70.6% | 0.24 | -0.06 | 0.8x | 110 | 44% |
| Buy and hold | -8.1% | -93.3% | 0.33 | -0.09 | 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