Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bumble Inc. backtest
10 trend-following strategies were compared on the full daily history of Bumble Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR -2.3%, MDD -17.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -44.3%, drawdown -96.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.5%, MDD -30.3%, Sharpe 0.04, 8% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 43.7%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR -2.3%, MDD -17.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=2.6 |
-0.5% | -30.3% | 0.04 | -0.02 | 1.0x | 18 | 8% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=16, mult=2.6 |
-0.7% | -22.6% | -0.03 | -0.03 | 1.0x | 8 | 3% |
| ADX / DI 방향성 period=28, threshold=21 |
-2.7% | -31.2% | -0.16 | -0.09 | 0.9x | 12 | 3% |
| SMA 크로스오버 fast=44, slow=63 |
-12.6% | -79.0% | -0.19 | -0.16 | 0.5x | 28 | 34% |
| ROC 모멘텀 n=47, threshold=0.13 |
-9.6% | -48.1% | -0.23 | -0.20 | 0.6x | 48 | 15% |
| EMA 크로스오버 fast=25, slow=150 |
-5.4% | -37.4% | -0.25 | -0.14 | 0.7x | 4 | 6% |
| Supertrend period=17, mult=3 |
-14.7% | -66.2% | -0.26 | -0.22 | 0.4x | 30 | 34% |
| Donchian 채널 돌파 entryN=119, exitN=22 |
-2.3% | -17.3% | -0.28 | -0.13 | 0.9x | 2 | 1% |
| MACD fast=22, slow=50, signal=26 |
-22.2% | -80.8% | -0.29 | -0.27 | 0.2x | 38 | 53% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-28.8% | -89.1% | -0.61 | -0.32 | 0.1x | 102 | 43% |
| Buy and hold | -44.3% | -96.8% | -0.51 | -0.46 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 13-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 13-day middle average