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 볼린저 밴드 돌파 (CAGR 23.2%, MDD -50.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.5%, drawdown -93.6%).
Sharpe leader (same as main): Supertrend — CAGR 34.8%, MDD -53.0%, Sharpe 0.75, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 62.4%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 23.2%, MDD -50.5%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=2.6 |
34.8% | -53.0% | 0.75 | 0.66 | 5.5x | 34 | 36% |
| 볼린저 밴드 돌파 n=15, k=2.5 |
23.2% | -50.5% | 0.65 | 0.46 | 3.3x | 32 | 15% |
| MACD fast=18, slow=24, signal=16 |
24.4% | -56.6% | 0.64 | 0.43 | 3.5x | 60 | 49% |
| ADX / DI 방향성 period=16, threshold=22 |
14.8% | -56.4% | 0.50 | 0.26 | 2.2x | 46 | 28% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=14, mult=0.7 |
14.2% | -59.2% | 0.49 | 0.24 | 2.1x | 78 | 30% |
| Parabolic SAR step=0.03, maxStep=0.14 |
9.8% | -67.3% | 0.44 | 0.15 | 1.7x | 141 | 43% |
| EMA 크로스오버 fast=6, slow=10 |
8.8% | -64.1% | 0.42 | 0.14 | 1.6x | 96 | 41% |
| Donchian 채널 돌파 entryN=19, exitN=16 |
3.0% | -77.4% | 0.32 | 0.04 | 1.2x | 34 | 35% |
| ROC 모멘텀 n=110, threshold=0.05 |
4.5% | -68.5% | 0.30 | 0.07 | 1.3x | 30 | 22% |
| SMA 크로스오버 fast=56, slow=146 |
-6.3% | -67.5% | 0.04 | -0.09 | 0.7x | 8 | 22% |
| Buy and hold | -27.5% | -93.6% | 0.05 | -0.29 | 0.2x | 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) — 20-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)