Trend-Following Backtester · Guide · backtest 한국어
equity · US
PubMatic, Inc. backtest
10 trend-following strategies were compared on the full daily history of PubMatic, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.3%, MDD -42.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.6%, drawdown -91.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -53.9%, Sharpe 0.41, 36% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 6.3%, MDD -42.9%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=1.1 |
9.1% | -53.9% | 0.41 | 0.17 | 1.6x | 108 | 36% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=14, mult=2.3 |
6.3% | -42.9% | 0.35 | 0.15 | 1.4x | 27 | 21% |
| ADX / DI 방향성 period=12, threshold=14 |
6.2% | -66.1% | 0.35 | 0.09 | 1.4x | 117 | 47% |
| Supertrend period=20, mult=2.2 |
5.4% | -63.4% | 0.34 | 0.09 | 1.4x | 53 | 41% |
| Donchian 채널 돌파 entryN=71, exitN=50 |
4.6% | -46.6% | 0.30 | 0.10 | 1.3x | 7 | 22% |
| ROC 모멘텀 n=31, threshold=0.16 |
4.4% | -60.2% | 0.29 | 0.07 | 1.3x | 51 | 22% |
| SMA 크로스오버 fast=57, slow=193 |
3.8% | -45.2% | 0.29 | 0.08 | 1.2x | 7 | 23% |
| MACD fast=13, slow=57, signal=8 |
2.4% | -53.4% | 0.26 | 0.05 | 1.1x | 78 | 51% |
| EMA 크로스오버 fast=14, slow=127 |
-0.9% | -54.2% | 0.13 | -0.02 | 0.9x | 11 | 27% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-5.4% | -71.7% | 0.09 | -0.08 | 0.7x | 144 | 47% |
| Buy and hold | -9.6% | -91.0% | 0.22 | -0.11 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 13-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 13-day middle average