Trend-Following Backtester · Guide · backtest 한국어
equity · US
Similarweb Ltd. backtest
10 trend-following strategies were compared on the full daily history of Similarweb Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.6%, MDD -17.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.3%, drawdown -90.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 29.7%, MDD -38.9%, Sharpe 1.06, 14% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 49.1%p higher than buy and hold, while drawdown improves by 51.7%p (CAGR 15.6%, MDD -17.1%, exposure 8%).
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=37, k=2.9 |
29.7% | -38.9% | 1.06 | 0.76 | 3.9x | 5 | 14% |
| ADX / DI 방향성 period=23, threshold=31 |
15.6% | -17.1% | 0.94 | 0.91 | 2.1x | 7 | 8% |
| SMA 크로스오버 fast=22, slow=61 |
25.0% | -49.0% | 0.76 | 0.51 | 3.2x | 15 | 37% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=2.6 |
13.9% | -18.9% | 0.73 | 0.74 | 2.0x | 10 | 12% |
| Donchian 채널 돌파 entryN=55, exitN=18 |
18.4% | -49.0% | 0.67 | 0.38 | 2.4x | 13 | 27% |
| ROC 모멘텀 n=33, threshold=0.11 |
16.5% | -48.9% | 0.62 | 0.34 | 2.2x | 49 | 25% |
| EMA 크로스오버 fast=25, slow=31 |
13.0% | -57.1% | 0.52 | 0.23 | 1.9x | 21 | 35% |
| Supertrend period=28, mult=4.7 |
11.0% | -57.7% | 0.47 | 0.19 | 1.7x | 13 | 36% |
| Parabolic SAR step=0.06, maxStep=0.18 |
-3.5% | -73.1% | 0.14 | -0.05 | 0.8x | 197 | 49% |
| MACD fast=19, slow=46, signal=24 |
-5.9% | -84.2% | 0.10 | -0.07 | 0.7x | 45 | 50% |
| Buy and hold | -19.3% | -90.6% | 0.01 | -0.21 | 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 37-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 37-day middle average