Trend-Following Backtester · Guide · backtest 한국어
equity · US
SPS Commerce, Inc. backtest
10 trend-following strategies were compared on the full daily history of SPS Commerce, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 15.7%, MDD -43.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -76.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.7%, MDD -43.4%, Sharpe 0.64, 68% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 33.4%p (CAGR 15.7%, MDD -43.4%, exposure 68%).
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=125, threshold=-0.03 |
15.7% | -43.4% | 0.64 | 0.36 | 10.7x | 94 | 68% |
| SMA 크로스오버 fast=47, slow=199 |
15.2% | -53.0% | 0.63 | 0.29 | 10.1x | 18 | 65% |
| 볼린저 밴드 돌파 n=54, k=1.7 |
11.7% | -53.6% | 0.62 | 0.22 | 6.0x | 75 | 42% |
| Donchian 채널 돌파 entryN=14, exitN=73 |
15.5% | -78.2% | 0.60 | 0.20 | 10.5x | 39 | 84% |
| Supertrend period=19, mult=2.9 |
12.3% | -50.4% | 0.60 | 0.24 | 6.6x | 99 | 54% |
| EMA 크로스오버 fast=15, slow=158 |
13.6% | -42.0% | 0.59 | 0.32 | 7.9x | 36 | 67% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=2.1 |
8.8% | -53.6% | 0.51 | 0.16 | 3.9x | 75 | 38% |
| ADX / DI 방향성 period=27, threshold=20 |
6.3% | -31.0% | 0.48 | 0.20 | 2.7x | 54 | 22% |
| MACD fast=16, slow=44, signal=19 |
1.4% | -73.0% | 0.18 | 0.02 | 1.2x | 185 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.1% | -79.1% | 0.17 | 0.01 | 1.2x | 147 | 53% |
| Buy and hold | 15.7% | -76.8% | 0.58 | 0.20 | 10.7x | 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 125-day return is greater than -3%
- Sell — Sell when the 125-day return drops to -3% or below