Trend-Following Backtester · Guide · backtest 한국어
equity · US
Talkspace, Inc. backtest
10 trend-following strategies were compared on the full daily history of Talkspace, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.7%, MDD -28.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.5%, drawdown -95.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 34.0%, MDD -35.9%, Sharpe 0.92, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 44.5%p higher than buy and hold, while drawdown improves by 59.2%p (CAGR 20.7%, MDD -28.8%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.02 |
34.0% | -35.9% | 0.92 | 0.95 | 5.8x | 21 | 47% |
| EMA 크로스오버 fast=21, slow=25 |
31.6% | -46.0% | 0.90 | 0.69 | 5.2x | 23 | 50% |
| ADX / DI 방향성 period=39, threshold=12 |
26.9% | -34.3% | 0.85 | 0.78 | 4.2x | 35 | 43% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=2.8 |
20.7% | -28.8% | 0.79 | 0.72 | 3.1x | 13 | 32% |
| Supertrend period=30, mult=4.8 |
23.2% | -46.8% | 0.77 | 0.50 | 3.5x | 13 | 45% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
19.4% | -42.8% | 0.77 | 0.45 | 2.9x | 15 | 30% |
| SMA 크로스오버 fast=19, slow=206 |
21.9% | -46.2% | 0.73 | 0.47 | 3.3x | 5 | 41% |
| ROC 모멘텀 n=66, threshold=0.01 |
18.8% | -52.0% | 0.64 | 0.36 | 2.8x | 70 | 48% |
| Donchian 채널 돌파 entryN=68, exitN=37 |
11.7% | -45.0% | 0.49 | 0.26 | 1.9x | 11 | 47% |
| MACD fast=12, slow=37, signal=15 |
-3.4% | -85.9% | 0.17 | -0.04 | 0.8x | 58 | 53% |
| Buy and hold | -10.5% | -95.2% | 0.14 | -0.11 | 0.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots