Trend-Following Backtester · Guide · backtest 한국어
equity · US
Evolv Technologies Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Evolv Technologies Holdings, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.5%, MDD -21.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.1%, drawdown -84.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.5%, MDD -21.0%, Sharpe 0.69, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.6%p higher than buy and hold, while drawdown improves by 63.5%p (CAGR 12.5%, MDD -21.0%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=3.9 |
12.5% | -21.0% | 0.69 | 0.60 | 2.0x | 4 | 10% |
| ADX / DI 방향성 period=30, threshold=23 |
7.1% | -28.2% | 0.41 | 0.25 | 1.5x | 6 | 13% |
| 볼린저 밴드 돌파 n=22, k=2.2 |
8.9% | -59.6% | 0.41 | 0.15 | 1.7x | 44 | 28% |
| ROC 모멘텀 n=121, threshold=0.09 |
7.6% | -64.6% | 0.37 | 0.12 | 1.5x | 54 | 31% |
| SMA 크로스오버 fast=42, slow=153 |
0.6% | -73.6% | 0.25 | 0.01 | 1.0x | 16 | 36% |
| Donchian 채널 돌파 entryN=32, exitN=66 |
-4.6% | -68.0% | 0.19 | -0.07 | 0.8x | 18 | 54% |
| MACD fast=17, slow=27, signal=7 |
-8.1% | -78.7% | 0.12 | -0.10 | 0.6x | 104 | 52% |
| Supertrend period=18, mult=3.6 |
-7.0% | -64.3% | 0.12 | -0.11 | 0.7x | 30 | 46% |
| EMA 크로스오버 fast=10, slow=30 |
-8.0% | -75.9% | 0.10 | -0.11 | 0.6x | 50 | 47% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-11.0% | -82.1% | 0.05 | -0.13 | 0.5x | 138 | 50% |
| Buy and hold | -10.1% | -84.5% | 0.27 | -0.12 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 44-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average