Trend-Following Backtester · Guide · backtest 한국어
equity · US
Spotify Technology S.A. backtest
10 trend-following strategies were compared on the full daily history of Spotify Technology S.A.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.8%, MDD -21.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 16.6%, drawdown -80.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.6%, MDD -31.3%, Sharpe 1.03, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 16.8%, MDD -21.3%, exposure 19%).
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=10, slow=170 |
31.6% | -31.3% | 1.03 | 1.01 | 10.0x | 11 | 52% |
| ROC 모멘텀 n=139, threshold=0.12 |
28.9% | -35.2% | 1.00 | 0.82 | 8.5x | 31 | 45% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=35, mult=3.3 |
16.8% | -21.3% | 0.94 | 0.79 | 3.7x | 16 | 19% |
| EMA 크로스오버 fast=21, slow=137 |
24.8% | -40.7% | 0.87 | 0.61 | 6.4x | 11 | 51% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
16.4% | -32.4% | 0.80 | 0.51 | 3.6x | 25 | 27% |
| ADX / DI 방향성 period=23, threshold=18 |
16.7% | -41.1% | 0.78 | 0.40 | 3.7x | 34 | 30% |
| Supertrend period=27, mult=4.9 |
19.8% | -45.0% | 0.74 | 0.44 | 4.6x | 23 | 56% |
| Donchian 채널 돌파 entryN=110, exitN=51 |
16.5% | -47.0% | 0.71 | 0.35 | 3.6x | 11 | 38% |
| Parabolic SAR step=0.01, maxStep=0.22 |
9.6% | -48.2% | 0.44 | 0.20 | 2.2x | 111 | 53% |
| MACD fast=17, slow=57, signal=19 |
7.7% | -58.7% | 0.39 | 0.13 | 1.9x | 87 | 48% |
| Buy and hold | 16.6% | -80.5% | 0.56 | 0.21 | 3.6x | 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 10-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 10-day average falls below the 170-day average