Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cellebrite DI Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cellebrite DI Ltd.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.1%, MDD -8.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.7%, drawdown -67.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.2%, MDD -35.5%, Sharpe 0.79, 36% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 7.1%, MDD -8.8%, exposure 11%).
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=147, threshold=0.14 |
17.2% | -35.5% | 0.79 | 0.49 | 2.5x | 16 | 36% |
| ADX / DI 방향성 period=50, threshold=28 |
7.1% | -8.8% | 0.77 | 0.81 | 1.5x | 4 | 11% |
| Donchian 채널 돌파 entryN=111, exitN=49 |
15.4% | -33.8% | 0.68 | 0.46 | 2.3x | 6 | 35% |
| SMA 크로스오버 fast=66, slow=174 |
16.1% | -42.2% | 0.66 | 0.38 | 2.4x | 6 | 46% |
| Supertrend period=14, mult=4.9 |
11.2% | -56.9% | 0.51 | 0.20 | 1.9x | 12 | 58% |
| 볼린저 밴드 돌파 n=41, k=1.7 |
5.4% | -40.2% | 0.33 | 0.13 | 1.4x | 32 | 36% |
| EMA 크로스오버 fast=37, slow=90 |
5.3% | -60.1% | 0.33 | 0.09 | 1.4x | 12 | 48% |
| MACD fast=23, slow=35, signal=27 |
-0.1% | -59.6% | 0.19 | -0.00 | 1.0x | 46 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=1.3 |
-0.9% | -59.7% | 0.12 | -0.02 | 0.9x | 36 | 39% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-8.3% | -63.2% | -0.07 | -0.13 | 0.6x | 54 | 55% |
| Buy and hold | 3.7% | -67.7% | 0.32 | 0.05 | 1.2x | 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 147-day return is greater than 14%
- Sell — Sell when the 147-day return drops to 14% or below