Trend-Following Backtester · Guide · backtest 한국어
equity · US
AvePoint, Inc. backtest
10 trend-following strategies were compared on the full daily history of AvePoint, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.0%, MDD -16.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.2%, drawdown -78.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.5%, MDD -48.2%, Sharpe 0.75, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 12.0%, MDD -16.2%, exposure 13%).
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=58, slow=172 |
20.5% | -48.2% | 0.75 | 0.42 | 3.6x | 7 | 50% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
12.0% | -16.2% | 0.73 | 0.74 | 2.2x | 16 | 13% |
| ROC 모멘텀 n=123, threshold=-0.03 |
18.5% | -55.5% | 0.70 | 0.33 | 3.2x | 25 | 55% |
| EMA 크로스오버 fast=47, slow=167 |
17.8% | -37.8% | 0.70 | 0.47 | 3.1x | 5 | 47% |
| Donchian 채널 돌파 entryN=30, exitN=43 |
16.1% | -53.6% | 0.63 | 0.30 | 2.8x | 17 | 50% |
| ADX / DI 방향성 period=31, threshold=26 |
8.1% | -42.9% | 0.48 | 0.19 | 1.7x | 16 | 21% |
| Parabolic SAR step=0.005, maxStep=0.36 |
10.2% | -60.1% | 0.47 | 0.17 | 1.9x | 57 | 50% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=15, mult=3.9 |
4.8% | -23.3% | 0.41 | 0.21 | 1.4x | 10 | 11% |
| Supertrend period=19, mult=5 |
6.3% | -61.5% | 0.35 | 0.10 | 1.5x | 19 | 56% |
| MACD fast=16, slow=54, signal=21 |
-1.6% | -74.1% | 0.11 | -0.02 | 0.9x | 75 | 50% |
| Buy and hold | 5.2% | -78.8% | 0.34 | 0.07 | 1.4x | 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 58-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 58-day average falls below the 172-day average