Trend-Following Backtester · Guide · backtest 한국어
equity · US
Airbnb, Inc. backtest
10 trend-following strategies were compared on the full daily history of Airbnb, Inc.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.1%, MDD -35.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.1%, drawdown -62.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -35.7%, Sharpe 0.45, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 9.1%, MDD -35.7%, exposure 41%).
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=16, k=1.1 |
9.1% | -35.7% | 0.45 | 0.25 | 1.6x | 91 | 41% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=11, mult=0.8 |
8.0% | -36.3% | 0.42 | 0.22 | 1.5x | 65 | 39% |
| MACD fast=7, slow=50, signal=21 |
6.1% | -46.3% | 0.35 | 0.13 | 1.4x | 75 | 46% |
| Supertrend period=20, mult=1.7 |
5.9% | -48.1% | 0.34 | 0.12 | 1.4x | 79 | 52% |
| SMA 크로스오버 fast=58, slow=148 |
3.3% | -46.4% | 0.25 | 0.07 | 1.2x | 11 | 46% |
| Donchian 채널 돌파 entryN=10, exitN=77 |
-1.2% | -63.5% | 0.16 | -0.02 | 0.9x | 21 | 82% |
| Parabolic SAR step=0.045, maxStep=0.32 |
0.1% | -43.4% | 0.16 | 0.00 | 1.0x | 198 | 55% |
| ADX / DI 방향성 period=7, threshold=31 |
0.4% | -33.2% | 0.13 | 0.01 | 1.0x | 83 | 24% |
| ROC 모멘텀 n=32, threshold=-0.11 |
-3.8% | -58.8% | 0.09 | -0.07 | 0.8x | 65 | 81% |
| EMA 크로스오버 fast=23, slow=90 |
-6.8% | -61.5% | -0.12 | -0.11 | 0.7x | 23 | 46% |
| Buy and hold | 4.1% | -62.0% | 0.32 | 0.07 | 1.3x | 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 16-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 16-day middle average