Trend-Following Backtester · Guide · backtest 한국어
equity · US
ThredUp Inc. backtest
10 trend-following strategies were compared on the full daily history of ThredUp Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 35.7%, MDD -29.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.8%, drawdown -98.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 51.8%, MDD -42.7%, Sharpe 0.97, 33% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 72.5%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 35.7%, MDD -29.2%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=54, exitN=52 |
51.8% | -42.7% | 0.97 | 1.21 | 9.3x | 5 | 33% |
| ROC 모멘텀 n=59, threshold=0.14 |
45.0% | -56.5% | 0.88 | 0.80 | 7.3x | 39 | 35% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=2.8 |
35.7% | -29.2% | 0.88 | 1.22 | 5.1x | 9 | 24% |
| SMA 크로스오버 fast=32, slow=86 |
43.1% | -52.0% | 0.86 | 0.83 | 6.8x | 11 | 37% |
| Supertrend period=18, mult=4 |
38.9% | -69.4% | 0.79 | 0.56 | 5.8x | 18 | 44% |
| EMA 크로스오버 fast=26, slow=107 |
28.4% | -63.2% | 0.71 | 0.45 | 3.8x | 5 | 32% |
| 볼린저 밴드 돌파 n=31, k=2.5 |
21.5% | -43.4% | 0.65 | 0.49 | 2.8x | 20 | 21% |
| ADX / DI 방향성 period=11, threshold=38 |
18.4% | -43.2% | 0.65 | 0.43 | 2.5x | 26 | 13% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.7% | -83.1% | 0.42 | 0.08 | 1.4x | 68 | 40% |
| MACD fast=11, slow=32, signal=9 |
-4.6% | -92.4% | 0.30 | -0.05 | 0.8x | 82 | 53% |
| Buy and hold | -20.8% | -98.3% | 0.31 | -0.21 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 54 days
- Sell — Sell when price breaks below the lowest low of the last 52 days