Trend-Following Backtester · Guide · backtest 한국어
equity · US
Elastic N.V. backtest
10 trend-following strategies were compared on the full daily history of Elastic N.V.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -39.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.2%, drawdown -76.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.8%, MDD -46.7%, Sharpe 0.51, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 6.2%, MDD -39.0%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=58, threshold=0.03 |
12.8% | -46.7% | 0.51 | 0.27 | 2.6x | 67 | 47% |
| Donchian 채널 돌파 entryN=121, exitN=87 |
9.7% | -41.0% | 0.44 | 0.24 | 2.1x | 7 | 34% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=14, mult=2.9 |
6.2% | -39.0% | 0.38 | 0.16 | 1.6x | 25 | 24% |
| Supertrend period=15, mult=4.2 |
5.8% | -61.1% | 0.34 | 0.10 | 1.6x | 33 | 49% |
| ADX / DI 방향성 period=22, threshold=30 |
2.8% | -11.8% | 0.33 | 0.24 | 1.2x | 5 | 3% |
| SMA 크로스오버 fast=28, slow=200 |
2.5% | -54.0% | 0.24 | 0.05 | 1.2x | 11 | 40% |
| EMA 크로스오버 fast=19, slow=350 |
1.7% | -60.2% | 0.22 | 0.03 | 1.1x | 7 | 37% |
| MACD fast=11, slow=14, signal=13 |
-0.8% | -73.7% | 0.18 | -0.01 | 0.9x | 165 | 52% |
| 볼린저 밴드 돌파 n=11, k=3 |
0.5% | -4.3% | 0.17 | 0.12 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-3.2% | -56.6% | 0.12 | -0.06 | 0.8x | 149 | 51% |
| Buy and hold | 4.2% | -76.8% | 0.36 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 58-day return is greater than 3%
- Sell — Sell when the 58-day return drops to 3% or below