Trend-Following Backtester · Guide · backtest 한국어
equity · US
Funko, Inc. backtest
10 trend-following strategies were compared on the full daily history of Funko, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -24.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.2%, drawdown -92.1%).
Sharpe leader (same as main): Supertrend — CAGR 36.1%, MDD -49.1%, Sharpe 0.92, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 38.3%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 10.7%, MDD -24.1%, exposure 4%).
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=36, mult=4.5 |
36.1% | -49.1% | 0.92 | 0.73 | 14.8x | 21 | 47% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=11, mult=3.8 |
10.7% | -24.1% | 0.79 | 0.44 | 2.4x | 4 | 4% |
| Donchian 채널 돌파 entryN=104, exitN=15 |
22.1% | -48.0% | 0.77 | 0.46 | 5.7x | 17 | 24% |
| ROC 모멘텀 n=105, threshold=0.05 |
26.7% | -65.3% | 0.75 | 0.41 | 7.9x | 67 | 47% |
| ADX / DI 방향성 period=21, threshold=15 |
22.8% | -52.5% | 0.69 | 0.43 | 6.0x | 85 | 41% |
| EMA 크로스오버 fast=14, slow=95 |
22.1% | -57.9% | 0.68 | 0.38 | 5.7x | 21 | 45% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
17.4% | -65.7% | 0.63 | 0.27 | 4.1x | 20 | 24% |
| SMA 크로스오버 fast=52, slow=98 |
19.2% | -79.1% | 0.61 | 0.24 | 4.6x | 21 | 52% |
| MACD fast=11, slow=52, signal=16 |
12.7% | -80.5% | 0.48 | 0.16 | 2.9x | 115 | 55% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-2.6% | -86.9% | 0.18 | -0.03 | 0.8x | 209 | 51% |
| Buy and hold | -2.2% | -92.1% | 0.36 | -0.02 | 0.8x | 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) — 36-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)