Trend-Following Backtester · Guide · backtest 한국어
equity · US
EverCommerce Inc. backtest
10 trend-following strategies were compared on the full daily history of EverCommerce Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.9%, MDD -26.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.8%, drawdown -74.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.8%, MDD -30.9%, Sharpe 0.75, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.7%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 7.9%, MDD -26.5%, exposure 15%).
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=2.1 |
15.8% | -30.9% | 0.75 | 0.51 | 2.1x | 43 | 23% |
| ROC 모멘텀 n=20, threshold=0.11 |
12.8% | -33.1% | 0.66 | 0.39 | 1.8x | 65 | 20% |
| MACD fast=13, slow=26, signal=8 |
12.5% | -36.9% | 0.52 | 0.34 | 1.8x | 85 | 51% |
| ADX / DI 방향성 period=9, threshold=32 |
7.9% | -26.5% | 0.47 | 0.30 | 1.5x | 37 | 15% |
| Supertrend period=28, mult=2.3 |
7.6% | -49.7% | 0.40 | 0.15 | 1.5x | 43 | 42% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=5, mult=1.3 |
3.4% | -39.7% | 0.26 | 0.09 | 1.2x | 39 | 30% |
| Donchian 채널 돌파 entryN=7, exitN=46 |
0.6% | -47.8% | 0.23 | 0.01 | 1.0x | 23 | 81% |
| Parabolic SAR step=0.02, maxStep=0.14 |
0.4% | -47.4% | 0.18 | 0.01 | 1.0x | 99 | 51% |
| SMA 크로스오버 fast=42, slow=206 |
-9.0% | -53.6% | -0.17 | -0.17 | 0.6x | 8 | 38% |
| EMA 크로스오버 fast=42, slow=147 |
-9.1% | -55.5% | -0.18 | -0.16 | 0.6x | 11 | 38% |
| Buy and hold | -6.8% | -74.1% | 0.11 | -0.09 | 0.7x | 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 (2.1× volatility)
- Sell — Sell when the close falls back to the 13-day middle average