Trend-Following Backtester · Guide · backtest 한국어
equity · US
Yelp Inc. backtest
10 trend-following strategies were compared on the full daily history of Yelp Inc.. 7 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 2.3%, MDD -13.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.5%, drawdown -85.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.9%, MDD -34.5%, Sharpe 0.51, 20% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 50.8%p (CAGR 2.3%, MDD -13.3%, exposure 1%).
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=52, k=3.2 |
8.9% | -34.5% | 0.51 | 0.26 | 3.4x | 20 | 20% |
| ROC 모멘텀 n=136, threshold=0.12 |
7.7% | -31.1% | 0.43 | 0.25 | 2.9x | 78 | 26% |
| ADX / DI 방향성 period=28, threshold=38 |
2.3% | -13.3% | 0.38 | 0.17 | 1.4x | 4 | 1% |
| Donchian 채널 돌파 entryN=127, exitN=14 |
3.6% | -37.9% | 0.28 | 0.10 | 1.7x | 26 | 17% |
| EMA 크로스오버 fast=74, slow=185 |
3.3% | -64.3% | 0.26 | 0.05 | 1.6x | 16 | 41% |
| SMA 크로스오버 fast=22, slow=216 |
3.0% | -64.2% | 0.24 | 0.05 | 1.5x | 26 | 40% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=3.7 |
2.1% | -44.7% | 0.20 | 0.05 | 1.4x | 32 | 23% |
| Supertrend period=15, mult=4.5 |
-1.5% | -73.7% | 0.12 | -0.02 | 0.8x | 53 | 46% |
| MACD fast=13, slow=40, signal=18 |
-5.1% | -84.1% | 0.04 | -0.06 | 0.5x | 177 | 54% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-8.2% | -88.1% | -0.06 | -0.09 | 0.3x | 465 | 50% |
| Buy and hold | 0.5% | -85.3% | 0.27 | 0.01 | 1.1x | 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 52-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 52-day middle average