Trend-Following Backtester · Guide · backtest 한국어
equity · US
Grindr Inc. backtest
10 trend-following strategies were compared on the full daily history of Grindr Inc.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 34.8%, MDD -49.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.1%, drawdown -87.3%).
Sharpe leader (same as main): Supertrend — CAGR 34.8%, MDD -49.9%, Sharpe 0.56, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 25.7%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 34.8%, MDD -49.9%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=3.1 |
34.8% | -49.9% | 0.56 | 0.70 | 5.2x | 21 | 56% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=11, mult=0.9 |
17.8% | -74.4% | 0.44 | 0.24 | 2.5x | 21 | 51% |
| SMA 크로스오버 fast=48, slow=90 |
15.3% | -84.5% | 0.42 | 0.18 | 2.2x | 7 | 63% |
| ROC 모멘텀 n=46, threshold=-0.02 |
15.7% | -75.7% | 0.42 | 0.21 | 2.2x | 55 | 69% |
| Donchian 채널 돌파 entryN=35, exitN=75 |
15.0% | -82.2% | 0.42 | 0.18 | 2.2x | 9 | 72% |
| EMA 크로스오버 fast=10, slow=84 |
12.4% | -82.5% | 0.39 | 0.15 | 1.9x | 13 | 59% |
| ADX / DI 방향성 period=78, threshold=17 |
9.0% | -87.3% | 0.37 | 0.10 | 1.6x | 6 | 49% |
| 볼린저 밴드 돌파 n=20, k=1.8 |
11.2% | -71.7% | 0.37 | 0.16 | 1.8x | 51 | 35% |
| MACD fast=11, slow=32, signal=10 |
4.1% | -79.9% | 0.31 | 0.05 | 1.2x | 107 | 51% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-12.3% | -79.5% | -0.10 | -0.15 | 0.5x | 91 | 57% |
| Buy and hold | 9.1% | -87.3% | 0.39 | 0.10 | 1.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)