Trend-Following Backtester · Guide · backtest 한국어
equity · US
monday.com Ltd. backtest
10 trend-following strategies were compared on the full daily history of monday.com Ltd.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.6%, MDD -18.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.4%, drawdown -86.8%).
Sharpe leader (same as main): Supertrend — CAGR 4.8%, MDD -59.1%, Sharpe 0.33, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 1.6%, MDD -18.3%, exposure 2%).
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=1.7 |
4.8% | -59.1% | 0.33 | 0.08 | 1.3x | 75 | 48% |
| SMA 크로스오버 fast=56, slow=219 |
3.7% | -48.3% | 0.29 | 0.08 | 1.2x | 6 | 47% |
| ADX / DI 방향성 period=23, threshold=20 |
2.8% | -39.0% | 0.24 | 0.07 | 1.2x | 16 | 15% |
| Donchian 채널 돌파 entryN=23, exitN=61 |
-0.9% | -65.6% | 0.23 | -0.01 | 1.0x | 17 | 63% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=3.5 |
1.6% | -18.3% | 0.19 | 0.08 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.8% | -72.5% | 0.18 | -0.04 | 0.9x | 91 | 50% |
| ROC 모멘텀 n=31, threshold=0.01 |
-2.5% | -63.8% | 0.16 | -0.04 | 0.9x | 109 | 46% |
| EMA 크로스오버 fast=13, slow=211 |
-1.0% | -46.8% | 0.14 | -0.02 | 0.9x | 10 | 42% |
| MACD fast=5, slow=30, signal=8 |
-6.4% | -72.7% | 0.11 | -0.09 | 0.7x | 135 | 49% |
| 볼린저 밴드 돌파 n=17, k=1.2 |
-7.4% | -67.1% | 0.02 | -0.11 | 0.7x | 83 | 37% |
| Buy and hold | -10.4% | -86.8% | 0.21 | -0.12 | 0.6x | 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, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)