Trend-Following Backtester · Guide · backtest 한국어
equity · US
Spire Global, Inc. backtest
10 trend-following strategies were compared on the full daily history of Spire Global, Inc.. 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 3.1%, MDD -44.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.4%, drawdown -97.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -64.0%, Sharpe 0.43, 28% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 35.5%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 3.1%, MDD -44.0%, exposure 12%).
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=48, slow=255 |
7.1% | -64.0% | 0.43 | 0.11 | 1.5x | 5 | 28% |
| Parabolic SAR step=0.02, maxStep=0.14 |
3.5% | -72.1% | 0.39 | 0.05 | 1.2x | 108 | 43% |
| Supertrend period=20, mult=2.4 |
-0.5% | -76.9% | 0.32 | -0.01 | 1.0x | 48 | 40% |
| 볼린저 밴드 돌파 n=16, k=2.8 |
3.1% | -44.0% | 0.27 | 0.07 | 1.2x | 24 | 12% |
| ADX / DI 방향성 period=7, threshold=17 |
-9.2% | -88.0% | 0.25 | -0.10 | 0.6x | 146 | 50% |
| MACD fast=6, slow=25, signal=17 |
-7.2% | -86.2% | 0.24 | -0.08 | 0.7x | 102 | 50% |
| ROC 모멘텀 n=113, threshold=0.06 |
-6.4% | -65.3% | 0.23 | -0.10 | 0.7x | 37 | 27% |
| Donchian 채널 돌파 entryN=25, exitN=12 |
-7.0% | -77.7% | 0.21 | -0.09 | 0.7x | 28 | 25% |
| EMA 크로스오버 fast=11, slow=66 |
-14.2% | -80.9% | 0.12 | -0.18 | 0.4x | 30 | 34% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=20, mult=2.5 |
-11.9% | -72.9% | 0.08 | -0.16 | 0.5x | 20 | 19% |
| Buy and hold | -28.4% | -97.7% | 0.12 | -0.29 | 0.1x | 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 48-day average price crosses above the 255-day average
- Sell — Sell (to cash) when the 48-day average falls below the 255-day average