Trend-Following Backtester · Guide · backtest 한국어
equity · US
TripAdvisor, Inc. backtest
10 trend-following strategies were compared on the full daily history of TripAdvisor, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -20.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.4%, drawdown -91.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.0%, MDD -64.1%, Sharpe 0.32, 28% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 1.0%, MDD -20.2%, exposure 3%).
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=77, k=2 |
5.0% | -64.1% | 0.32 | 0.08 | 2.0x | 31 | 28% |
| EMA 크로스오버 fast=47, slow=182 |
2.9% | -61.9% | 0.24 | 0.05 | 1.5x | 17 | 33% |
| Supertrend period=12, mult=5 |
2.3% | -64.8% | 0.23 | 0.04 | 1.4x | 45 | 41% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.3 |
2.6% | -48.9% | 0.23 | 0.05 | 1.5x | 41 | 27% |
| Donchian 채널 돌파 entryN=106, exitN=18 |
1.8% | -47.5% | 0.19 | 0.04 | 1.3x | 25 | 16% |
| SMA 크로스오버 fast=38, slow=215 |
1.1% | -69.0% | 0.17 | 0.02 | 1.2x | 21 | 34% |
| ADX / DI 방향성 period=25, threshold=34 |
1.0% | -20.2% | 0.16 | 0.05 | 1.2x | 6 | 3% |
| ROC 모멘텀 n=83, threshold=0.05 |
-0.6% | -79.0% | 0.13 | -0.01 | 0.9x | 135 | 38% |
| MACD fast=6, slow=37, signal=14 |
-5.4% | -80.2% | 0.02 | -0.07 | 0.4x | 270 | 52% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-8.5% | -86.7% | -0.07 | -0.10 | 0.3x | 257 | 49% |
| Buy and hold | -4.4% | -91.6% | 0.16 | -0.05 | 0.5x | 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 77-day average (2× volatility)
- Sell — Sell when the close falls back to the 77-day middle average