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; SMA 크로스오버 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 -13.1%, drawdown -86.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.7%, MDD -48.3%, Sharpe 0.29, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 38.5%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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=219 |
3.7% | -48.3% | 0.29 | 0.08 | 1.2x | 6 | 47% |
| Supertrend period=8, mult=1.7 |
1.9% | -59.1% | 0.26 | 0.03 | 1.1x | 75 | 47% |
| ADX / DI 방향성 period=23, threshold=20 |
2.9% | -39.0% | 0.24 | 0.07 | 1.2x | 16 | 16% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=3.5 |
1.6% | -18.3% | 0.19 | 0.09 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.1% | -72.5% | 0.17 | -0.04 | 0.9x | 89 | 49% |
| Donchian 채널 돌파 entryN=23, exitN=61 |
-3.8% | -65.6% | 0.17 | -0.06 | 0.8x | 17 | 63% |
| 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 |
-6.1% | -72.7% | 0.12 | -0.08 | 0.7x | 131 | 49% |
| ROC 모멘텀 n=31, threshold=0.01 |
-5.3% | -63.8% | 0.09 | -0.08 | 0.8x | 109 | 45% |
| 볼린저 밴드 돌파 n=17, k=1.2 |
-7.8% | -66.1% | 0.01 | -0.12 | 0.7x | 81 | 37% |
| Buy and hold | -13.1% | -86.8% | 0.16 | -0.15 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 56-day average falls below the 219-day average