Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arlo Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arlo Technologies, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 15.7%, MDD -42.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.3%, drawdown -93.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.0%, MDD -48.2%, Sharpe 0.54, 18% exposure.
CAGR reference leader: Parabolic SAR — CAGR 15.7%, MDD -42.8%, exposure 46%.
Return/drawdown alternative: Parabolic SAR — CAGR is 19.3%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 15.7%, MDD -42.8%, exposure 46%).
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=41, k=3.1 |
13.0% | -48.2% | 0.54 | 0.27 | 2.7x | 18 | 18% |
| Parabolic SAR step=0.015, maxStep=0.2 |
15.7% | -42.8% | 0.53 | 0.37 | 3.2x | 128 | 46% |
| ADX / DI 방향성 period=25, threshold=21 |
11.5% | -48.5% | 0.48 | 0.24 | 2.4x | 32 | 26% |
| ROC 모멘텀 n=91, threshold=0.01 |
11.0% | -58.5% | 0.45 | 0.19 | 2.3x | 66 | 43% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=24, mult=2.8 |
8.7% | -54.0% | 0.41 | 0.16 | 2.0x | 28 | 20% |
| Donchian 채널 돌파 entryN=46, exitN=70 |
8.4% | -57.6% | 0.40 | 0.15 | 1.9x | 15 | 55% |
| SMA 크로스오버 fast=21, slow=132 |
6.7% | -54.7% | 0.36 | 0.12 | 1.7x | 17 | 40% |
| Supertrend period=25, mult=2.4 |
5.8% | -63.0% | 0.35 | 0.09 | 1.6x | 70 | 43% |
| EMA 크로스오버 fast=43, slow=161 |
6.0% | -47.7% | 0.34 | 0.13 | 1.6x | 16 | 45% |
| MACD fast=18, slow=37, signal=4 |
3.1% | -64.3% | 0.33 | 0.05 | 1.3x | 158 | 52% |
| Buy and hold | -6.3% | -93.5% | 0.28 | -0.07 | 0.6x | 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 41-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 41-day middle average