Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xometry, Inc. backtest
10 trend-following strategies were compared on the full daily history of Xometry, Inc.. 10 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 23.5%, MDD -31.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.5%, drawdown -87.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 39.2%, MDD -39.0%, Sharpe 0.96, 38% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 45.4%, MDD -52.3%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 39.7%p higher than buy and hold, while drawdown improves by 48.2%p (CAGR 23.5%, MDD -31.7%, exposure 29%).
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=46, k=1.5 |
39.2% | -39.0% | 0.96 | 1.01 | 5.4x | 22 | 38% |
| Donchian 채널 돌파 entryN=35, exitN=36 |
45.4% | -52.3% | 0.95 | 0.87 | 6.7x | 11 | 47% |
| ROC 모멘텀 n=43, threshold=0.12 |
36.6% | -40.3% | 0.94 | 0.91 | 4.9x | 62 | 37% |
| SMA 크로스오버 fast=25, slow=50 |
44.6% | -58.8% | 0.92 | 0.76 | 6.5x | 23 | 49% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=2.1 |
31.5% | -40.3% | 0.90 | 0.78 | 4.0x | 22 | 25% |
| Parabolic SAR step=0.025, maxStep=0.22 |
31.9% | -60.9% | 0.78 | 0.52 | 4.1x | 122 | 51% |
| ADX / DI 방향성 period=13, threshold=25 |
23.5% | -31.7% | 0.78 | 0.74 | 2.9x | 44 | 29% |
| Supertrend period=27, mult=2 |
26.8% | -45.3% | 0.73 | 0.59 | 3.3x | 54 | 41% |
| EMA 크로스오버 fast=7, slow=59 |
26.1% | -51.4% | 0.71 | 0.51 | 3.3x | 23 | 48% |
| MACD fast=18, slow=35, signal=12 |
21.2% | -56.5% | 0.61 | 0.38 | 2.7x | 60 | 50% |
| Buy and hold | -0.5% | -87.2% | 0.40 | -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 46-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 46-day middle average