Trend-Following Backtester · Guide · backtest 한국어
equity · US
Butterfly Network, Inc. backtest
10 trend-following strategies were compared on the full daily history of Butterfly Network, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 18.8%, MDD -53.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.7%, drawdown -97.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 40.3%, MDD -63.1%, Sharpe 0.80, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 44.0%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 18.8%, MDD -53.6%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=58 |
40.3% | -63.1% | 0.80 | 0.64 | 8.0x | 27 | 47% |
| Donchian 채널 돌파 entryN=57, exitN=39 |
38.1% | -71.5% | 0.79 | 0.53 | 7.3x | 9 | 35% |
| ADX / DI 방향성 period=39, threshold=12 |
38.2% | -71.6% | 0.78 | 0.53 | 7.3x | 29 | 36% |
| ROC 모멘텀 n=49, threshold=0.12 |
31.3% | -65.7% | 0.72 | 0.48 | 5.3x | 68 | 32% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=2.2 |
28.9% | -58.5% | 0.70 | 0.49 | 4.7x | 17 | 29% |
| EMA 크로스오버 fast=19, slow=88 |
28.3% | -72.7% | 0.68 | 0.39 | 4.6x | 13 | 35% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
18.8% | -53.6% | 0.59 | 0.35 | 2.9x | 11 | 22% |
| Supertrend period=6, mult=3.2 |
17.7% | -70.4% | 0.58 | 0.25 | 2.7x | 31 | 55% |
| Parabolic SAR step=0.02, maxStep=0.32 |
8.6% | -82.7% | 0.45 | 0.10 | 1.7x | 128 | 46% |
| MACD fast=14, slow=40, signal=12 |
3.7% | -84.0% | 0.39 | 0.04 | 1.2x | 82 | 50% |
| Buy and hold | -3.7% | -97.4% | 0.43 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 35-day average falls below the 58-day average