Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alkami Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alkami Technology, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.2%, MDD -10.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.0%, drawdown -79.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -30.4%, Sharpe 0.62, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.8%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 4.2%, MDD -10.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=8, slow=158 |
13.8% | -30.4% | 0.62 | 0.45 | 2.0x | 9 | 42% |
| EMA 크로스오버 fast=12, slow=211 |
11.7% | -33.0% | 0.61 | 0.35 | 1.8x | 5 | 35% |
| ROC 모멘텀 n=140, threshold=0.13 |
9.4% | -24.7% | 0.51 | 0.38 | 1.6x | 39 | 31% |
| Donchian 채널 돌파 entryN=80, exitN=53 |
9.6% | -35.6% | 0.48 | 0.27 | 1.6x | 5 | 41% |
| ADX / DI 방향성 period=26, threshold=25 |
4.2% | -10.9% | 0.43 | 0.39 | 1.2x | 8 | 8% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
5.4% | -16.4% | 0.42 | 0.33 | 1.3x | 8 | 15% |
| Supertrend period=23, mult=1.9 |
0.1% | -50.4% | 0.16 | 0.00 | 1.0x | 65 | 51% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3.8 |
-0.3% | -15.0% | 0.06 | -0.02 | 1.0x | 8 | 16% |
| MACD fast=23, slow=58, signal=24 |
-5.6% | -56.4% | -0.01 | -0.10 | 0.7x | 37 | 51% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-9.9% | -56.2% | -0.18 | -0.18 | 0.6x | 138 | 51% |
| Buy and hold | -13.0% | -79.0% | -0.04 | -0.16 | 0.5x | 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 8-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 8-day average falls below the 158-day average