Trend-Following Backtester · Guide · backtest 한국어
equity · US
TaskUs, Inc. backtest
10 trend-following strategies were compared on the full daily history of TaskUs, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.1%, MDD -18.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.3%, drawdown -94.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.1%, MDD -18.6%, Sharpe 0.77, 2% exposure.
CAGR reference leader: Supertrend — CAGR 11.2%, MDD -59.3%, exposure 42%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 38.4%p higher than buy and hold, while drawdown improves by 76.0%p (CAGR 11.1%, MDD -18.6%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=19, k=3.5 |
11.1% | -18.6% | 0.77 | 0.60 | 1.7x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=9, mult=2.7 |
7.5% | -28.7% | 0.48 | 0.26 | 1.4x | 8 | 5% |
| Supertrend period=26, mult=1.6 |
11.2% | -59.3% | 0.46 | 0.19 | 1.7x | 65 | 42% |
| ADX / DI 방향성 period=17, threshold=37 |
3.5% | -30.4% | 0.31 | 0.11 | 1.2x | 8 | 6% |
| MACD fast=6, slow=24, signal=7 |
-3.6% | -70.4% | 0.16 | -0.05 | 0.8x | 129 | 51% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-3.6% | -71.8% | 0.16 | -0.05 | 0.8x | 113 | 45% |
| ROC 모멘텀 n=53, threshold=0.11 |
-3.4% | -53.5% | 0.09 | -0.06 | 0.8x | 38 | 23% |
| Donchian 채널 돌파 entryN=44, exitN=31 |
-10.4% | -70.7% | -0.03 | -0.15 | 0.6x | 14 | 42% |
| SMA 크로스오버 fast=47, slow=383 |
-4.8% | -47.8% | -0.05 | -0.10 | 0.8x | 4 | 27% |
| EMA 크로스오버 fast=30, slow=42 |
-10.6% | -73.3% | -0.07 | -0.14 | 0.6x | 16 | 37% |
| Buy and hold | -27.3% | -94.5% | -0.12 | -0.29 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 19-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 19-day middle average