Trend-Following Backtester · Guide · backtest 한국어
equity · US
Groupon, Inc. backtest
10 trend-following strategies were compared on the full daily history of Groupon, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.1%, MDD -17.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.0%, drawdown -99.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -17.0%, Sharpe 0.47, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.1%, MDD -75.7%, exposure 39%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.1%p higher than buy and hold, while drawdown improves by 82.4%p (CAGR 5.1%, MDD -17.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=23, mult=2.8 |
5.1% | -17.0% | 0.47 | 0.30 | 2.1x | 20 | 3% |
| SMA 크로스오버 fast=54, slow=148 |
9.1% | -75.7% | 0.42 | 0.12 | 3.6x | 27 | 39% |
| EMA 크로스오버 fast=57, slow=112 |
3.4% | -65.9% | 0.29 | 0.05 | 1.6x | 19 | 33% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
2.8% | -27.9% | 0.25 | 0.10 | 1.5x | 18 | 6% |
| ROC 모멘텀 n=122, threshold=-0.03 |
-1.4% | -84.6% | 0.22 | -0.02 | 0.8x | 87 | 43% |
| Supertrend period=16, mult=3.8 |
-4.4% | -95.4% | 0.19 | -0.05 | 0.5x | 72 | 43% |
| Donchian 채널 돌파 entryN=53, exitN=71 |
-5.1% | -93.9% | 0.18 | -0.05 | 0.5x | 29 | 50% |
| MACD fast=8, slow=27, signal=9 |
-8.2% | -91.1% | 0.14 | -0.09 | 0.3x | 306 | 50% |
| ADX / DI 방향성 period=35, threshold=13 |
-4.4% | -87.3% | 0.11 | -0.05 | 0.5x | 98 | 31% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-15.2% | -93.8% | -0.04 | -0.16 | 0.1x | 399 | 46% |
| Buy and hold | -20.0% | -99.4% | 0.11 | -0.20 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 6-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average