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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.1%, MDD -10.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -44.4%, drawdown -96.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.7%, MDD -11.4%, Sharpe 0.43, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 47.2%p higher than buy and hold, while drawdown improves by 85.2%p (CAGR 2.1%, MDD -10.5%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=25, mult=3.1 |
2.7% | -11.4% | 0.43 | 0.24 | 1.2x | 2 | 2% |
| ROC 모멘텀 n=1, threshold=0.12 |
2.1% | -10.5% | 0.28 | 0.20 | 1.1x | 14 | 1% |
| 볼린저 밴드 돌파 n=13, k=2.4 |
-3.7% | -30.3% | -0.13 | -0.12 | 0.8x | 28 | 11% |
| ADX / DI 방향성 period=12, threshold=34 |
-3.6% | -25.3% | -0.20 | -0.14 | 0.8x | 10 | 4% |
| EMA 크로스오버 fast=23, slow=148 |
-5.4% | -36.1% | -0.23 | -0.15 | 0.7x | 4 | 7% |
| MACD fast=22, slow=51, signal=23 |
-20.6% | -78.9% | -0.25 | -0.26 | 0.3x | 35 | 53% |
| Donchian 채널 돌파 entryN=111, exitN=11 |
-2.3% | -17.3% | -0.28 | -0.14 | 0.9x | 2 | 1% |
| Supertrend period=20, mult=3.2 |
-18.5% | -70.5% | -0.42 | -0.26 | 0.3x | 26 | 34% |
| SMA 크로스오버 fast=43, slow=44 |
-21.5% | -77.5% | -0.44 | -0.28 | 0.3x | 106 | 35% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-27.6% | -89.1% | -0.56 | -0.31 | 0.2x | 98 | 43% |
| Buy and hold | -44.4% | -96.6% | -0.51 | -0.46 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 9-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average