Trend-Following Backtester · Guide · backtest 한국어
equity · US
HubSpot, Inc. backtest
10 trend-following strategies were compared on the full daily history of HubSpot, Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.8%, MDD -42.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.9%, drawdown -80.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.6%, MDD -44.3%, Sharpe 0.82, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 20.8%, MDD -42.9%, exposure 59%).
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=135, threshold=-0.02 |
24.6% | -44.3% | 0.82 | 0.55 | 13.6x | 57 | 65% |
| EMA 크로스오버 fast=35, slow=58 |
23.4% | -47.7% | 0.79 | 0.49 | 12.2x | 25 | 62% |
| SMA 크로스오버 fast=7, slow=148 |
20.8% | -42.9% | 0.74 | 0.48 | 9.4x | 29 | 59% |
| Supertrend period=8, mult=4.7 |
21.7% | -44.4% | 0.74 | 0.49 | 10.3x | 31 | 61% |
| Donchian 채널 돌파 entryN=48, exitN=63 |
18.7% | -55.6% | 0.66 | 0.34 | 7.7x | 21 | 64% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
14.2% | -39.1% | 0.61 | 0.36 | 4.9x | 55 | 47% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=32, mult=1.5 |
14.7% | -36.1% | 0.60 | 0.41 | 5.1x | 63 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
10.4% | -63.2% | 0.46 | 0.16 | 3.2x | 203 | 54% |
| ADX / DI 방향성 period=34, threshold=13 |
4.4% | -52.6% | 0.30 | 0.08 | 1.7x | 88 | 38% |
| MACD fast=7, slow=26, signal=9 |
0.7% | -84.5% | 0.19 | 0.01 | 1.1x | 275 | 50% |
| Buy and hold | 19.9% | -80.0% | 0.61 | 0.25 | 8.6x | 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 135-day return is greater than -2%
- Sell — Sell when the 135-day return drops to -2% or below