Trend-Following Backtester · Guide · backtest 한국어
equity · US
Riskified Ltd. backtest
10 trend-following strategies were compared on the full daily history of Riskified Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.5%, MDD -6.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.6%, drawdown -90.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.8%, MDD -40.1%, Sharpe 0.20, 31% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.4%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR -0.5%, MDD -6.2%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=177 |
1.8% | -40.1% | 0.20 | 0.05 | 1.1x | 9 | 31% |
| Supertrend period=19, mult=2.5 |
-0.0% | -42.1% | 0.15 | -0.00 | 1.0x | 35 | 41% |
| ADX / DI 방향성 period=32, threshold=15 |
-0.6% | -23.6% | 0.04 | -0.02 | 1.0x | 16 | 13% |
| EMA 크로스오버 fast=49, slow=62 |
-4.3% | -49.8% | -0.03 | -0.09 | 0.8x | 11 | 36% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-9.2% | -52.0% | -0.09 | -0.18 | 0.6x | 119 | 50% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
-0.5% | -6.2% | -0.09 | -0.09 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=1.2 |
-6.8% | -50.2% | -0.18 | -0.14 | 0.7x | 29 | 32% |
| ROC 모멘텀 n=55, threshold=0.04 |
-7.8% | -53.2% | -0.19 | -0.15 | 0.7x | 73 | 36% |
| Donchian 채널 돌파 entryN=105, exitN=50 |
-5.7% | -36.2% | -0.22 | -0.16 | 0.7x | 7 | 19% |
| MACD fast=18, slow=49, signal=14 |
-18.6% | -71.1% | -0.35 | -0.26 | 0.4x | 50 | 54% |
| Buy and hold | -27.6% | -90.2% | -0.32 | -0.31 | 0.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 56-day average falls below the 177-day average