Trend-Following Backtester · Guide · backtest 한국어
equity · US
Freshworks Inc. backtest
10 trend-following strategies were compared on the full daily history of Freshworks Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.4%, MDD -25.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.1%, drawdown -86.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.7%, MDD -27.1%, Sharpe 0.64, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 40.8%p higher than buy and hold, while drawdown improves by 59.2%p (CAGR 11.4%, MDD -25.3%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=12, slow=37 |
17.7% | -27.1% | 0.64 | 0.65 | 2.3x | 26 | 41% |
| 볼린저 밴드 돌파 n=64, k=2.4 |
11.4% | -25.3% | 0.54 | 0.45 | 1.7x | 9 | 24% |
| Donchian 채널 돌파 entryN=40, exitN=20 |
11.2% | -32.6% | 0.48 | 0.34 | 1.7x | 11 | 38% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=2.1 |
9.3% | -33.3% | 0.46 | 0.28 | 1.6x | 13 | 24% |
| Parabolic SAR step=0.015, maxStep=0.02 |
9.7% | -38.1% | 0.44 | 0.25 | 1.6x | 23 | 40% |
| Supertrend period=19, mult=3.2 |
7.8% | -41.8% | 0.39 | 0.19 | 1.5x | 20 | 37% |
| EMA 크로스오버 fast=17, slow=34 |
7.4% | -45.7% | 0.38 | 0.16 | 1.4x | 19 | 38% |
| ROC 모멘텀 n=146, threshold=0.05 |
3.9% | -38.9% | 0.28 | 0.10 | 1.2x | 19 | 33% |
| MACD fast=31, slow=59, signal=31 |
-0.5% | -61.0% | 0.22 | -0.01 | 1.0x | 22 | 56% |
| ADX / DI 방향성 period=18, threshold=19 |
2.1% | -34.8% | 0.20 | 0.06 | 1.1x | 30 | 20% |
| Buy and hold | -23.1% | -86.3% | -0.17 | -0.27 | 0.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 12-day average price crosses above the 37-day average
- Sell — Sell (to cash) when the 12-day average falls below the 37-day average