Trend-Following Backtester · Guide · backtest 한국어
equity · US
XP Inc. backtest
10 trend-following strategies were compared on the full daily history of XP Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -8.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.1%, drawdown -79.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.7%, MDD -27.6%, Sharpe 0.61, 10% exposure.
CAGR reference leader: MACD — CAGR 8.9%, MDD -56.2%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.8%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR 3.8%, MDD -8.4%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=5, mult=3.4 |
8.7% | -27.6% | 0.61 | 0.32 | 1.8x | 8 | 10% |
| ADX / DI 방향성 period=20, threshold=39 |
3.8% | -8.4% | 0.60 | 0.45 | 1.3x | 2 | 3% |
| MACD fast=18, slow=33, signal=21 |
8.9% | -56.2% | 0.42 | 0.16 | 1.8x | 67 | 48% |
| ROC 모멘텀 n=19, threshold=0.12 |
7.0% | -49.9% | 0.42 | 0.14 | 1.6x | 92 | 19% |
| Donchian 채널 돌파 entryN=40, exitN=6 |
5.5% | -50.2% | 0.37 | 0.11 | 1.4x | 33 | 17% |
| SMA 크로스오버 fast=34, slow=66 |
2.1% | -55.3% | 0.22 | 0.04 | 1.1x | 27 | 42% |
| Supertrend period=10, mult=3.5 |
1.8% | -42.2% | 0.21 | 0.04 | 1.1x | 37 | 41% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
1.1% | -51.5% | 0.17 | 0.02 | 1.1x | 45 | 28% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-10.7% | -75.9% | -0.13 | -0.14 | 0.5x | 129 | 49% |
| EMA 크로스오버 fast=51, slow=95 |
-7.8% | -56.0% | -0.14 | -0.14 | 0.6x | 12 | 42% |
| Buy and hold | -9.1% | -79.2% | 0.12 | -0.11 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 39-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 39-day average