Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Advantage Corporation backtest
10 trend-following strategies were compared on the full daily history of First Advantage Corporation. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.7%, MDD -15.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.2%, drawdown -62.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -16.3%, Sharpe 0.48, 13% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 46.7%p (CAGR 4.7%, MDD -15.8%, 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=30, k=2.8 |
8.1% | -16.3% | 0.48 | 0.50 | 1.5x | 8 | 13% |
| Donchian 채널 돌파 entryN=131, exitN=16 |
4.7% | -15.8% | 0.37 | 0.30 | 1.3x | 7 | 15% |
| SMA 크로스오버 fast=42, slow=149 |
4.4% | -20.9% | 0.30 | 0.21 | 1.3x | 11 | 43% |
| EMA 크로스오버 fast=22, slow=205 |
2.5% | -37.9% | 0.22 | 0.07 | 1.1x | 7 | 39% |
| ADX / DI 방향성 period=17, threshold=37 |
1.0% | -14.2% | 0.21 | 0.07 | 1.1x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=17, mult=2.4 |
0.7% | -28.9% | 0.13 | 0.02 | 1.0x | 18 | 18% |
| Supertrend period=19, mult=2.9 |
-3.7% | -58.3% | 0.03 | -0.06 | 0.8x | 40 | 55% |
| ROC 모멘텀 n=20, threshold=0.1 |
-1.6% | -37.5% | 0.03 | -0.04 | 0.9x | 92 | 18% |
| MACD fast=11, slow=46, signal=17 |
-3.5% | -43.1% | 0.01 | -0.08 | 0.8x | 64 | 47% |
| Parabolic SAR step=0.045, maxStep=0.14 |
-14.6% | -68.5% | -0.35 | -0.21 | 0.4x | 168 | 51% |
| Buy and hold | 1.2% | -62.9% | 0.25 | 0.02 | 1.1x | 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 30-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 30-day middle average