Trend-Following Backtester · Guide · backtest 한국어
equity · US
AEye, Inc. backtest
10 trend-following strategies were compared on the full daily history of AEye, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -33.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -63.8%, drawdown -99.9%).
Sharpe leader (same as main): MACD — CAGR 6.0%, MDD -84.1%, Sharpe 0.56, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 69.9%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 0.6%, MDD -33.4%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=8, slow=58, signal=13 |
6.0% | -84.1% | 0.56 | 0.07 | 1.4x | 66 | 54% |
| 볼린저 밴드 돌파 n=19, k=2.4 |
-1.0% | -68.6% | 0.38 | -0.01 | 0.9x | 40 | 15% |
| ROC 모멘텀 n=36, threshold=0.12 |
-5.2% | -74.1% | 0.36 | -0.07 | 0.7x | 50 | 20% |
| SMA 크로스오버 fast=9, slow=78 |
-5.9% | -81.1% | 0.34 | -0.07 | 0.7x | 20 | 24% |
| EMA 크로스오버 fast=19, slow=41 |
-6.4% | -79.3% | 0.33 | -0.08 | 0.7x | 18 | 22% |
| Donchian 채널 돌파 entryN=47, exitN=7 |
-4.3% | -73.6% | 0.29 | -0.06 | 0.8x | 18 | 9% |
| Supertrend period=36, mult=4.1 |
-3.4% | -72.2% | 0.28 | -0.05 | 0.8x | 20 | 16% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=28, mult=1.9 |
-8.7% | -76.9% | 0.25 | -0.11 | 0.6x | 18 | 11% |
| ADX / DI 방향성 period=38, threshold=27 |
0.6% | -33.4% | 0.14 | 0.02 | 1.0x | 2 | 6% |
| Parabolic SAR step=0.055, maxStep=0.28 |
-42.5% | -97.3% | -0.05 | -0.44 | 0.0x | 208 | 41% |
| Buy and hold | -63.8% | -99.9% | -0.08 | -0.64 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (8/58) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line