Trend-Following Backtester · Guide · backtest 한국어
equity · US
Blend Labs, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blend Labs, 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 8.0%, MDD -25.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -38.7%, drawdown -97.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.2%, MDD -44.7%, Sharpe 0.66, 30% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 59.9%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 8.0%, MDD -25.1%, exposure 7%).
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=36, slow=209 |
21.2% | -44.7% | 0.66 | 0.47 | 2.6x | 4 | 30% |
| ROC 모멘텀 n=123, threshold=0.1 |
16.2% | -41.3% | 0.57 | 0.39 | 2.1x | 24 | 27% |
| EMA 크로스오버 fast=44, slow=108 |
14.7% | -51.3% | 0.53 | 0.29 | 2.0x | 6 | 30% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
8.0% | -25.1% | 0.50 | 0.32 | 1.5x | 4 | 7% |
| ADX / DI 방향성 period=35, threshold=23 |
6.5% | -28.1% | 0.39 | 0.23 | 1.4x | 4 | 6% |
| Donchian 채널 돌파 entryN=83, exitN=16 |
5.7% | -27.3% | 0.38 | 0.21 | 1.3x | 6 | 7% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=3.6 |
3.2% | -30.0% | 0.26 | 0.11 | 1.2x | 4 | 6% |
| Supertrend period=13, mult=4.7 |
-6.4% | -80.0% | 0.16 | -0.08 | 0.7x | 10 | 43% |
| MACD fast=19, slow=26, signal=15 |
-23.4% | -80.4% | -0.11 | -0.29 | 0.3x | 66 | 54% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-29.9% | -85.4% | -0.31 | -0.35 | 0.2x | 128 | 47% |
| Buy and hold | -38.7% | -97.4% | -0.17 | -0.40 | 0.1x | 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 36-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 36-day average falls below the 209-day average