Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marqeta, Inc. backtest
10 trend-following strategies were compared on the full daily history of Marqeta, Inc.. 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 3.0%, MDD -14.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.9%, drawdown -89.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -39.1%, Sharpe 0.33, 26% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.4%p higher than buy and hold, while drawdown improves by 50.7%p (CAGR 3.0%, MDD -14.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=122 |
5.5% | -39.1% | 0.33 | 0.14 | 1.3x | 5 | 26% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=3.9 |
3.0% | -14.0% | 0.32 | 0.22 | 1.2x | 2 | 6% |
| ROC 모멘텀 n=166, threshold=-0.02 |
-0.2% | -36.2% | 0.11 | -0.00 | 1.0x | 16 | 23% |
| EMA 크로스오버 fast=49, slow=84 |
-1.1% | -38.9% | 0.07 | -0.03 | 0.9x | 6 | 22% |
| Donchian 채널 돌파 entryN=63, exitN=68 |
-13.4% | -68.2% | -0.23 | -0.20 | 0.5x | 8 | 29% |
| ADX / DI 방향성 period=21, threshold=22 |
-3.7% | -24.9% | -0.26 | -0.15 | 0.8x | 14 | 10% |
| Supertrend period=25, mult=4.9 |
-17.5% | -79.4% | -0.38 | -0.22 | 0.4x | 14 | 30% |
| MACD fast=17, slow=52, signal=22 |
-29.4% | -85.5% | -0.49 | -0.34 | 0.2x | 48 | 51% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
-4.2% | -25.6% | -0.56 | -0.16 | 0.8x | 4 | 4% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-29.1% | -87.0% | -0.58 | -0.33 | 0.2x | 70 | 43% |
| Buy and hold | -31.9% | -89.7% | -0.27 | -0.36 | 0.1x | 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 31-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 31-day average falls below the 122-day average