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.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.2%, MDD -16.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.3%, drawdown -78.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.2%, MDD -48.2%, Sharpe 0.74, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 12.2%, 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 |
20.2% | -48.2% | 0.74 | 0.42 | 3.4x | 6 | 50% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
12.2% | -16.2% | 0.74 | 0.75 | 2.2x | 16 | 13% |
| ROC 모멘텀 n=123, threshold=-0.03 |
17.6% | -55.5% | 0.68 | 0.32 | 3.0x | 25 | 54% |
| EMA 크로스오버 fast=47, slow=167 |
17.0% | -37.8% | 0.67 | 0.45 | 2.9x | 4 | 46% |
| Donchian 채널 돌파 entryN=30, exitN=43 |
15.2% | -53.6% | 0.61 | 0.28 | 2.6x | 17 | 50% |
| ADX / DI 방향성 period=31, threshold=26 |
8.2% | -42.9% | 0.49 | 0.19 | 1.7x | 16 | 21% |
| Parabolic SAR step=0.005, maxStep=0.36 |
9.2% | -60.1% | 0.44 | 0.15 | 1.8x | 57 | 49% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=15, mult=3.9 |
4.9% | -23.3% | 0.41 | 0.21 | 1.4x | 10 | 11% |
| Supertrend period=19, mult=5 |
5.3% | -61.5% | 0.32 | 0.09 | 1.4x | 19 | 55% |
| MACD fast=16, slow=54, signal=21 |
-1.6% | -74.1% | 0.11 | -0.02 | 0.9x | 73 | 50% |
| Buy and hold | 4.3% | -78.8% | 0.32 | 0.05 | 1.3x | 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