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 3.1%, MDD -14.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.6%, drawdown -89.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -31.6%, Sharpe 0.38, 25% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 38.3%p higher than buy and hold, while drawdown improves by 58.1%p (CAGR 3.1%, 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 |
6.7% | -31.6% | 0.38 | 0.21 | 1.4x | 5 | 25% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=3.9 |
3.1% | -14.0% | 0.32 | 0.22 | 1.2x | 2 | 6% |
| EMA 크로스오버 fast=49, slow=84 |
1.0% | -31.9% | 0.16 | 0.03 | 1.1x | 5 | 22% |
| ROC 모멘텀 n=166, threshold=-0.02 |
-0.2% | -36.2% | 0.11 | -0.00 | 1.0x | 16 | 24% |
| Donchian 채널 돌파 entryN=63, exitN=68 |
-13.6% | -68.2% | -0.24 | -0.20 | 0.5x | 8 | 30% |
| ADX / DI 방향성 period=21, threshold=22 |
-3.8% | -24.9% | -0.26 | -0.15 | 0.8x | 14 | 10% |
| Supertrend period=25, mult=4.9 |
-17.7% | -79.4% | -0.39 | -0.22 | 0.4x | 14 | 30% |
| MACD fast=17, slow=52, signal=22 |
-28.3% | -85.5% | -0.45 | -0.33 | 0.2x | 47 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-28.3% | -86.4% | -0.55 | -0.33 | 0.2x | 69 | 44% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
-4.2% | -25.6% | -0.56 | -0.17 | 0.8x | 4 | 4% |
| Buy and hold | -31.6% | -89.7% | -0.26 | -0.35 | 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