Trend-Following Backtester · Guide · backtest 한국어
equity · US
Upstart Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Upstart Holdings, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.5%, MDD -53.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.5%, drawdown -96.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 36.9%, MDD -54.7%, Sharpe 0.82, 24% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 37.5%p higher than buy and hold, while drawdown improves by 42.2%p (CAGR 24.5%, MDD -53.0%, exposure 19%).
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=8, k=1.8 |
36.9% | -54.7% | 0.82 | 0.67 | 6.0x | 92 | 24% |
| Parabolic SAR step=0.045, maxStep=0.18 |
33.2% | -78.8% | 0.72 | 0.42 | 5.1x | 179 | 47% |
| EMA 크로스오버 fast=18, slow=58 |
33.4% | -67.7% | 0.72 | 0.49 | 5.2x | 18 | 38% |
| Donchian 채널 돌파 entryN=111, exitN=26 |
24.5% | -53.0% | 0.70 | 0.46 | 3.5x | 6 | 19% |
| ROC 모멘텀 n=54, threshold=0.13 |
30.4% | -71.7% | 0.69 | 0.42 | 4.5x | 60 | 33% |
| SMA 크로스오버 fast=43, slow=56 |
24.2% | -80.4% | 0.63 | 0.30 | 3.4x | 30 | 44% |
| Supertrend period=23, mult=5 |
21.8% | -65.8% | 0.62 | 0.33 | 3.1x | 17 | 40% |
| ADX / DI 방향성 period=28, threshold=20 |
22.0% | -72.1% | 0.59 | 0.31 | 3.1x | 20 | 22% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=16, mult=2.2 |
13.0% | -61.4% | 0.50 | 0.21 | 2.0x | 20 | 24% |
| MACD fast=7, slow=28, signal=5 |
-4.3% | -95.3% | 0.38 | -0.04 | 0.8x | 168 | 53% |
| Buy and hold | -0.5% | -96.9% | 0.54 | -0.01 | 1.0x | 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 8-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 8-day middle average