Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shoals Technologies Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Shoals Technologies Group, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.6%, MDD -29.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.5%, drawdown -93.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.6%, MDD -48.8%, Sharpe 0.27, 23% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 27.0%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 0.6%, MDD -29.5%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=126, threshold=0.14 |
2.6% | -48.8% | 0.27 | 0.05 | 1.2x | 33 | 23% |
| SMA 크로스오버 fast=54, slow=112 |
-3.6% | -67.2% | 0.16 | -0.05 | 0.8x | 9 | 36% |
| MACD fast=14, slow=44, signal=7 |
-7.1% | -86.3% | 0.14 | -0.08 | 0.7x | 90 | 51% |
| 볼린저 밴드 돌파 n=31, k=3.4 |
0.6% | -29.5% | 0.14 | 0.02 | 1.0x | 6 | 5% |
| ADX / DI 방향성 period=45, threshold=8 |
-6.0% | -64.9% | 0.13 | -0.09 | 0.7x | 46 | 35% |
| EMA 크로스오버 fast=16, slow=150 |
-6.0% | -49.5% | 0.11 | -0.12 | 0.7x | 12 | 35% |
| Parabolic SAR step=0.045, maxStep=0.2 |
-7.7% | -69.0% | 0.11 | -0.11 | 0.6x | 189 | 48% |
| Donchian 채널 돌파 entryN=12, exitN=58 |
-14.6% | -87.6% | 0.09 | -0.17 | 0.4x | 24 | 68% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=2 |
-2.5% | -38.6% | 0.04 | -0.07 | 0.9x | 24 | 11% |
| Supertrend period=8, mult=4.4 |
-16.0% | -69.6% | -0.01 | -0.23 | 0.4x | 22 | 46% |
| Buy and hold | -24.5% | -93.0% | 0.04 | -0.26 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 126-day return is greater than 14%
- Sell — Sell when the 126-day return drops to 14% or below