Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pinterest, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pinterest, Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.9%, MDD -24.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.6%, drawdown -82.7%).
Sharpe leader (same as main): Supertrend — CAGR 15.4%, MDD -50.0%, Sharpe 0.56, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 8.9%, MDD -24.7%, exposure 14%).
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=28, mult=4.2 |
15.4% | -50.0% | 0.56 | 0.31 | 2.9x | 27 | 47% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=23, mult=3.7 |
8.9% | -24.7% | 0.47 | 0.36 | 1.9x | 12 | 14% |
| SMA 크로스오버 fast=31, slow=213 |
10.9% | -48.6% | 0.46 | 0.22 | 2.1x | 11 | 45% |
| ADX / DI 방향성 period=38, threshold=22 |
5.2% | -27.9% | 0.36 | 0.19 | 1.5x | 8 | 10% |
| EMA 크로스오버 fast=55, slow=150 |
6.7% | -62.8% | 0.35 | 0.11 | 1.6x | 10 | 42% |
| 볼린저 밴드 돌파 n=46, k=1.4 |
5.9% | -65.0% | 0.33 | 0.09 | 1.5x | 44 | 39% |
| Donchian 채널 돌파 entryN=118, exitN=20 |
4.7% | -56.7% | 0.30 | 0.08 | 1.4x | 13 | 22% |
| ROC 모멘텀 n=104, threshold=-0.03 |
3.9% | -53.2% | 0.29 | 0.07 | 1.3x | 77 | 51% |
| MACD fast=18, slow=55, signal=18 |
-10.6% | -88.0% | -0.05 | -0.12 | 0.4x | 70 | 55% |
| Parabolic SAR step=0.04, maxStep=0.38 |
-13.0% | -86.8% | -0.13 | -0.15 | 0.4x | 242 | 50% |
| Buy and hold | -1.6% | -82.7% | 0.28 | -0.02 | 0.9x | 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) — 28-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)