Trend-Following Backtester · Guide · backtest 한국어
equity · US
MediaAlpha, Inc. backtest
10 trend-following strategies were compared on the full daily history of MediaAlpha, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.9%, MDD -38.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.4%, drawdown -91.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.9%, MDD -38.8%, Sharpe 0.68, 29% exposure.
CAGR reference leader: MACD — CAGR 21.5%, MDD -63.7%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 38.4%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 19.9%, MDD -38.8%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=1.8 |
19.9% | -38.8% | 0.68 | 0.51 | 2.9x | 78 | 29% |
| Supertrend period=21, mult=1.5 |
21.0% | -58.6% | 0.66 | 0.36 | 3.1x | 78 | 44% |
| MACD fast=10, slow=27, signal=18 |
21.5% | -63.7% | 0.65 | 0.34 | 3.2x | 68 | 51% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=8, mult=0.9 |
17.1% | -47.0% | 0.61 | 0.36 | 2.5x | 68 | 32% |
| Donchian 채널 돌파 entryN=10, exitN=18 |
16.3% | -64.4% | 0.55 | 0.25 | 2.4x | 40 | 53% |
| ADX / DI 방향성 period=23, threshold=11 |
15.2% | -49.3% | 0.55 | 0.31 | 2.3x | 58 | 47% |
| Parabolic SAR step=0.025, maxStep=0.08 |
12.5% | -65.0% | 0.49 | 0.19 | 2.0x | 102 | 44% |
| ROC 모멘텀 n=12, threshold=0.08 |
10.8% | -50.6% | 0.47 | 0.21 | 1.8x | 148 | 27% |
| EMA 크로스오버 fast=4, slow=45 |
6.1% | -62.2% | 0.35 | 0.10 | 1.4x | 50 | 47% |
| SMA 크로스오버 fast=3, slow=18 |
1.9% | -62.6% | 0.26 | 0.03 | 1.1x | 114 | 46% |
| Buy and hold | -18.4% | -91.6% | 0.02 | -0.20 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 12-day middle average