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 22.4%, MDD -38.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.1%, drawdown -80.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.0%, MDD -44.3%, Sharpe 0.80, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 22.4%, MDD -38.6%, exposure 60%).
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 |
24.0% | -44.3% | 0.80 | 0.54 | 12.7x | 56 | 65% |
| EMA 크로스오버 fast=35, slow=58 |
23.1% | -47.7% | 0.79 | 0.49 | 11.7x | 24 | 62% |
| SMA 크로스오버 fast=7, slow=148 |
22.4% | -38.6% | 0.79 | 0.58 | 10.9x | 26 | 60% |
| Supertrend period=8, mult=4.7 |
20.9% | -44.4% | 0.73 | 0.47 | 9.4x | 31 | 61% |
| Donchian 채널 돌파 entryN=48, exitN=63 |
18.9% | -55.6% | 0.67 | 0.34 | 7.7x | 20 | 64% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=32, mult=1.5 |
16.3% | -36.1% | 0.65 | 0.45 | 5.9x | 61 | 51% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
15.2% | -39.1% | 0.64 | 0.39 | 5.3x | 53 | 47% |
| Parabolic SAR step=0.015, maxStep=0.12 |
11.2% | -57.1% | 0.48 | 0.20 | 3.5x | 201 | 54% |
| ADX / DI 방향성 period=34, threshold=13 |
4.5% | -52.6% | 0.30 | 0.08 | 1.7x | 88 | 38% |
| MACD fast=7, slow=26, signal=9 |
1.5% | -81.8% | 0.21 | 0.02 | 1.2x | 273 | 50% |
| Buy and hold | 19.1% | -80.0% | 0.60 | 0.24 | 7.8x | 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