Trend-Following Backtester · Guide · backtest 한국어
equity · US
EVgo Inc. backtest
10 trend-following strategies were compared on the full daily history of EVgo Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.7%, MDD -33.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.6%, drawdown -94.3%).
Sharpe leader (same as main): Supertrend — CAGR 34.7%, MDD -51.8%, Sharpe 0.76, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 64.3%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 15.7%, MDD -33.3%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=2.8 |
34.7% | -51.8% | 0.76 | 0.67 | 5.7x | 30 | 34% |
| 볼린저 밴드 돌파 n=11, k=2.5 |
24.1% | -53.9% | 0.69 | 0.45 | 3.5x | 28 | 10% |
| Parabolic SAR step=0.005, maxStep=0.14 |
21.5% | -55.6% | 0.59 | 0.39 | 3.1x | 45 | 45% |
| MACD fast=17, slow=24, signal=16 |
18.7% | -62.7% | 0.57 | 0.30 | 2.7x | 65 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=2.6 |
15.7% | -33.3% | 0.53 | 0.47 | 2.4x | 16 | 8% |
| ADX / DI 방향성 period=16, threshold=22 |
14.4% | -56.4% | 0.49 | 0.25 | 2.2x | 46 | 27% |
| ROC 모멘텀 n=108, threshold=0.14 |
9.1% | -64.5% | 0.40 | 0.14 | 1.7x | 22 | 18% |
| EMA 크로스오버 fast=16, slow=21 |
7.4% | -75.6% | 0.39 | 0.10 | 1.5x | 38 | 36% |
| SMA 크로스오버 fast=19, slow=39 |
7.4% | -71.7% | 0.39 | 0.10 | 1.5x | 40 | 40% |
| Donchian 채널 돌파 entryN=12, exitN=17 |
2.4% | -75.3% | 0.34 | 0.03 | 1.1x | 45 | 46% |
| Buy and hold | -29.6% | -94.3% | 0.02 | -0.31 | 0.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)