Trend-Following Backtester · Guide · backtest 한국어
equity · US
Five9, Inc. backtest
10 trend-following strategies were compared on the full daily history of Five9, Inc.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 29.7%, MDD -40.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.9%, drawdown -93.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.7%, MDD -40.8%, Sharpe 0.92, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 29.7%, MDD -40.8%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=174, threshold=0.03 |
29.7% | -40.8% | 0.92 | 0.73 | 24.6x | 37 | 53% |
| EMA 크로스오버 fast=14, slow=181 |
27.5% | -47.0% | 0.87 | 0.59 | 20.0x | 11 | 55% |
| Donchian 채널 돌파 entryN=96, exitN=88 |
25.3% | -57.8% | 0.82 | 0.44 | 16.1x | 7 | 54% |
| SMA 크로스오버 fast=15, slow=200 |
25.7% | -62.6% | 0.82 | 0.41 | 16.7x | 11 | 57% |
| ADX / DI 방향성 period=27, threshold=11 |
16.1% | -41.3% | 0.61 | 0.39 | 6.3x | 135 | 49% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=20, mult=2.6 |
3.8% | -12.9% | 0.49 | 0.29 | 1.6x | 16 | 4% |
| 볼린저 밴드 돌파 n=46, k=2 |
9.0% | -47.8% | 0.46 | 0.19 | 2.9x | 54 | 34% |
| Supertrend period=24, mult=4.5 |
10.0% | -74.3% | 0.46 | 0.13 | 3.2x | 41 | 49% |
| MACD fast=8, slow=23, signal=6 |
2.1% | -84.3% | 0.24 | 0.02 | 1.3x | 331 | 52% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-0.5% | -86.5% | 0.17 | -0.01 | 0.9x | 327 | 52% |
| Buy and hold | 10.9% | -93.5% | 0.46 | 0.12 | 3.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 174-day return is greater than 3%
- Sell — Sell when the 174-day return drops to 3% or below