Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bakkt, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bakkt, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 42.1%, MDD -71.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -47.3%, drawdown -99.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 43.1%, MDD -84.0%, Sharpe 0.72, 36% exposure.
Return/drawdown alternative: Supertrend — CAGR is 90.4%p higher than buy and hold, while drawdown improves by 15.4%p (CAGR 42.1%, MDD -71.2%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.04, maxStep=0.1 |
43.1% | -84.0% | 0.72 | 0.51 | 7.7x | 116 | 36% |
| Supertrend period=18, mult=0.9 |
42.1% | -71.2% | 0.69 | 0.59 | 7.4x | 142 | 29% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=16, mult=0.4 |
21.5% | -74.8% | 0.59 | 0.29 | 3.0x | 100 | 28% |
| MACD fast=23, slow=49, signal=16 |
12.3% | -86.9% | 0.57 | 0.14 | 1.9x | 44 | 47% |
| ADX / DI 방향성 period=9, threshold=28 |
25.8% | -84.4% | 0.57 | 0.31 | 3.7x | 66 | 26% |
| 볼린저 밴드 돌파 n=13, k=1.1 |
13.9% | -82.3% | 0.53 | 0.17 | 2.1x | 94 | 28% |
| EMA 크로스오버 fast=4, slow=17 |
7.8% | -83.8% | 0.51 | 0.09 | 1.5x | 80 | 34% |
| Donchian 채널 돌파 entryN=25, exitN=6 |
2.5% | -78.9% | 0.35 | 0.03 | 1.2x | 32 | 15% |
| ROC 모멘텀 n=6, threshold=0.02 |
-17.8% | -94.3% | 0.29 | -0.19 | 0.3x | 222 | 33% |
| SMA 크로스오버 fast=6, slow=33 |
-19.1% | -93.5% | 0.25 | -0.20 | 0.3x | 46 | 35% |
| Buy and hold | -47.3% | -99.4% | 0.30 | -0.48 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots