Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dave Inc. backtest
10 trend-following strategies were compared on the full daily history of Dave Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 90.7%, MDD -43.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.5%, drawdown -99.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 90.0%, MDD -47.4%, Sharpe 1.26, 47% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 90.7%, MDD -43.7%, exposure 48%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 87.5%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR 90.7%, MDD -43.7%, exposure 48%).
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=30, slow=207 |
90.0% | -47.4% | 1.26 | 1.90 | 31.0x | 3 | 47% |
| ROC 모멘텀 n=180, threshold=0.01 |
90.7% | -43.7% | 1.25 | 2.08 | 31.6x | 11 | 48% |
| EMA 크로스오버 fast=75, slow=99 |
78.0% | -50.2% | 1.16 | 1.55 | 21.8x | 5 | 52% |
| 볼린저 밴드 돌파 n=61, k=1.3 |
64.5% | -46.3% | 1.07 | 1.39 | 14.3x | 24 | 36% |
| Supertrend period=32, mult=2.4 |
58.0% | -59.2% | 1.05 | 0.98 | 11.6x | 49 | 45% |
| Parabolic SAR step=0.02, maxStep=0.38 |
57.8% | -71.5% | 1.00 | 0.81 | 11.5x | 111 | 48% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=27, mult=1.4 |
49.2% | -54.1% | 0.92 | 0.91 | 8.5x | 44 | 28% |
| ADX / DI 방향성 period=21, threshold=23 |
39.4% | -63.9% | 0.84 | 0.62 | 5.9x | 26 | 28% |
| MACD fast=10, slow=16, signal=10 |
41.7% | -90.4% | 0.84 | 0.46 | 6.5x | 113 | 52% |
| Donchian 채널 돌파 entryN=26, exitN=68 |
38.7% | -82.4% | 0.79 | 0.47 | 5.7x | 13 | 60% |
| Buy and hold | 2.5% | -99.0% | 0.49 | 0.03 | 1.1x | 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 30-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 30-day average falls below the 207-day average