Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fastly, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fastly, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.5%, MDD -31.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.8%, drawdown -96.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.5%, MDD -31.5%, Sharpe 0.76, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 27.5%, MDD -71.4%, exposure 42%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 64.6%p (CAGR 16.5%, MDD -31.5%, exposure 6%).
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=17, k=3.5 |
16.5% | -31.5% | 0.76 | 0.53 | 3.1x | 8 | 6% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=3.5 |
15.8% | -33.2% | 0.73 | 0.48 | 2.9x | 8 | 6% |
| ADX / DI 방향성 period=18, threshold=39 |
12.8% | -31.5% | 0.68 | 0.41 | 2.4x | 4 | 4% |
| SMA 크로스오버 fast=12, slow=183 |
27.5% | -71.4% | 0.68 | 0.39 | 5.9x | 13 | 42% |
| ROC 모멘텀 n=103, threshold=-0.03 |
27.4% | -78.6% | 0.68 | 0.35 | 5.9x | 72 | 46% |
| EMA 크로스오버 fast=24, slow=181 |
21.7% | -72.5% | 0.61 | 0.30 | 4.2x | 11 | 41% |
| Donchian 채널 돌파 entryN=43, exitN=74 |
11.4% | -76.7% | 0.49 | 0.15 | 2.2x | 13 | 55% |
| Supertrend period=29, mult=4.5 |
10.7% | -71.4% | 0.46 | 0.15 | 2.1x | 29 | 38% |
| Parabolic SAR step=0.03, maxStep=0.38 |
7.7% | -84.0% | 0.43 | 0.09 | 1.7x | 200 | 50% |
| MACD fast=3, slow=34, signal=13 |
6.0% | -83.3% | 0.42 | 0.07 | 1.5x | 176 | 53% |
| Buy and hold | -0.8% | -96.1% | 0.43 | -0.01 | 0.9x | 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 17-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 17-day middle average