Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alphabet Inc. backtest
10 trend-following strategies were compared on the full daily history of Alphabet Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.4%, MDD -37.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.9%, drawdown -65.3%).
Sharpe leader (same as main): Supertrend — CAGR 17.2%, MDD -32.8%, Sharpe 0.86, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.8%, MDD -49.8%, exposure 85%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.7%p lower than buy and hold, while drawdown improves by 32.5%p (CAGR 20.4%, MDD -37.1%, exposure 86%).
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=8, mult=4.1 |
17.2% | -32.8% | 0.86 | 0.53 | 33.6x | 101 | 58% |
| ROC 모멘텀 n=155, threshold=-0.11 |
20.4% | -37.1% | 0.86 | 0.55 | 61.0x | 63 | 86% |
| Donchian 채널 돌파 entryN=11, exitN=48 |
20.8% | -49.8% | 0.85 | 0.42 | 65.5x | 77 | 85% |
| EMA 크로스오버 fast=33, slow=87 |
16.2% | -38.2% | 0.77 | 0.42 | 27.4x | 50 | 72% |
| SMA 크로스오버 fast=26, slow=191 |
16.1% | -34.2% | 0.76 | 0.47 | 26.9x | 37 | 72% |
| MACD fast=38, slow=57, signal=31 |
13.9% | -34.2% | 0.75 | 0.41 | 17.7x | 130 | 49% |
| 볼린저 밴드 돌파 n=36, k=1.6 |
9.9% | -36.6% | 0.59 | 0.27 | 8.1x | 156 | 46% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=2.2 |
7.6% | -35.8% | 0.57 | 0.21 | 5.1x | 132 | 25% |
| ADX / DI 방향성 period=37, threshold=7 |
9.3% | -52.8% | 0.53 | 0.18 | 7.1x | 263 | 60% |
| Parabolic SAR step=0.005, maxStep=0.24 |
9.4% | -47.0% | 0.52 | 0.20 | 7.3x | 192 | 58% |
| Buy and hold | 24.9% | -65.3% | 0.88 | 0.38 | 136.4x | 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) — 8-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)