Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shopify Inc. backtest
10 trend-following strategies were compared on the full daily history of Shopify Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 46.8%, MDD -51.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 48.5%, drawdown -84.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 46.8%, MDD -51.7%, Sharpe 1.06, 75% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 33.1%p (CAGR 46.8%, MDD -51.7%, exposure 75%).
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=58, slow=270 |
46.8% | -51.7% | 1.06 | 0.90 | 75.8x | 6 | 75% |
| EMA 크로스오버 fast=40, slow=203 |
42.5% | -46.3% | 1.01 | 0.92 | 54.5x | 9 | 74% |
| ROC 모멘텀 n=191, threshold=-0.02 |
44.1% | -49.4% | 1.01 | 0.89 | 61.6x | 43 | 78% |
| Donchian 채널 돌파 entryN=62, exitN=72 |
37.6% | -55.8% | 0.98 | 0.67 | 36.7x | 17 | 68% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
26.4% | -48.1% | 0.89 | 0.55 | 14.1x | 49 | 46% |
| Supertrend period=26, mult=4.9 |
28.3% | -56.6% | 0.86 | 0.50 | 16.7x | 37 | 55% |
| ADX / DI 방향성 period=28, threshold=39 |
4.4% | -6.6% | 0.78 | 0.66 | 1.6x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=2.3 |
18.0% | -42.4% | 0.68 | 0.43 | 6.5x | 59 | 44% |
| MACD fast=18, slow=47, signal=18 |
8.0% | -71.8% | 0.39 | 0.11 | 2.4x | 131 | 52% |
| Parabolic SAR step=0.02, maxStep=0.36 |
4.2% | -82.5% | 0.31 | 0.05 | 1.6x | 263 | 56% |
| Buy and hold | 48.5% | -84.8% | 0.95 | 0.57 | 86.4x | 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 58-day average price crosses above the 270-day average
- Sell — Sell (to cash) when the 58-day average falls below the 270-day average