Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stride, Inc. backtest
10 trend-following strategies were compared on the full daily history of Stride, Inc.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.5%, drawdown -81.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.4%, MDD -18.6%, Sharpe 0.53, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.8%, MDD -71.0%, exposure 58%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=17, mult=2.2 |
4.4% | -18.6% | 0.53 | 0.23 | 2.2x | 40 | 5% |
| SMA 크로스오버 fast=28, slow=121 |
9.8% | -71.0% | 0.44 | 0.14 | 5.7x | 46 | 58% |
| ADX / DI 방향성 period=60, threshold=24 |
2.3% | -16.8% | 0.34 | 0.13 | 1.5x | 8 | 5% |
| Supertrend period=12, mult=4.6 |
4.2% | -73.9% | 0.29 | 0.06 | 2.2x | 68 | 58% |
| MACD fast=7, slow=25, signal=9 |
2.6% | -73.6% | 0.26 | 0.03 | 1.6x | 391 | 51% |
| 볼린저 밴드 돌파 n=25, k=3.3 |
1.9% | -26.0% | 0.23 | 0.07 | 1.4x | 34 | 8% |
| EMA 크로스오버 fast=55, slow=205 |
0.9% | -74.3% | 0.22 | 0.01 | 1.2x | 24 | 54% |
| Donchian 채널 돌파 entryN=54, exitN=49 |
-0.1% | -65.8% | 0.19 | -0.00 | 1.0x | 44 | 56% |
| ROC 모멘텀 n=184, threshold=-0.02 |
-3.2% | -76.5% | 0.11 | -0.04 | 0.5x | 119 | 57% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-6.2% | -81.1% | 0.02 | -0.08 | 0.3x | 374 | 53% |
| Buy and hold | 6.5% | -81.4% | 0.39 | 0.08 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 6-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average