Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aeva Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aeva Technologies, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 33.0%, MDD -31.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.9%, drawdown -97.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 33.0%, MDD -31.3%, Sharpe 1.02, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.9%p higher than buy and hold, while drawdown improves by 66.4%p (CAGR 33.0%, MDD -31.3%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=9, mult=4 |
33.0% | -31.3% | 1.02 | 1.06 | 6.2x | 6 | 8% |
| ADX / DI 방향성 period=17, threshold=33 |
30.3% | -34.2% | 0.91 | 0.89 | 5.5x | 6 | 9% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
25.9% | -47.9% | 0.70 | 0.54 | 4.4x | 14 | 19% |
| SMA 크로스오버 fast=67, slow=135 |
19.7% | -77.9% | 0.59 | 0.25 | 3.2x | 11 | 35% |
| Donchian 채널 돌파 entryN=94, exitN=12 |
16.9% | -55.3% | 0.58 | 0.31 | 2.7x | 14 | 15% |
| Supertrend period=9, mult=2.8 |
15.0% | -74.0% | 0.54 | 0.20 | 2.5x | 46 | 49% |
| EMA 크로스오버 fast=45, slow=287 |
14.8% | -75.7% | 0.52 | 0.20 | 2.4x | 3 | 21% |
| ROC 모멘텀 n=10, threshold=0.11 |
10.2% | -83.1% | 0.44 | 0.12 | 1.9x | 122 | 22% |
| MACD fast=14, slow=56, signal=19 |
6.3% | -86.1% | 0.43 | 0.07 | 1.5x | 66 | 52% |
| Parabolic SAR step=0.045, maxStep=0.06 |
2.4% | -91.8% | 0.34 | 0.03 | 1.2x | 106 | 43% |
| Buy and hold | -14.9% | -97.7% | 0.28 | -0.15 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 27-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average