Trend-Following Backtester · Guide · backtest 한국어
equity · US
SoFi Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of SoFi Technologies, Inc.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.5%, MDD -36.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.9%, drawdown -83.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.5%, MDD -36.2%, Sharpe 0.73, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 19.5%, MDD -36.2%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=11, mult=2.3 |
19.5% | -36.2% | 0.73 | 0.54 | 2.7x | 22 | 22% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
16.8% | -53.0% | 0.61 | 0.32 | 2.4x | 19 | 32% |
| ADX / DI 방향성 period=21, threshold=34 |
5.3% | -11.0% | 0.54 | 0.48 | 1.3x | 4 | 4% |
| Donchian 채널 돌파 entryN=32, exitN=8 |
12.9% | -38.9% | 0.54 | 0.33 | 2.0x | 22 | 23% |
| MACD fast=30, slow=61, signal=20 |
13.7% | -67.5% | 0.51 | 0.20 | 2.1x | 35 | 46% |
| ROC 모멘텀 n=149, threshold=0.13 |
11.8% | -47.3% | 0.48 | 0.25 | 1.9x | 28 | 36% |
| SMA 크로스오버 fast=11, slow=70 |
12.0% | -53.3% | 0.48 | 0.22 | 1.9x | 27 | 40% |
| Supertrend period=17, mult=3.7 |
10.7% | -57.2% | 0.45 | 0.19 | 1.8x | 27 | 42% |
| EMA 크로스오버 fast=75, slow=185 |
7.7% | -48.7% | 0.39 | 0.16 | 1.5x | 6 | 43% |
| Parabolic SAR step=0.045, maxStep=0.3 |
-16.0% | -82.2% | -0.16 | -0.19 | 0.4x | 198 | 49% |
| Buy and hold | 6.9% | -83.3% | 0.44 | 0.08 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average