Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bandwidth Inc. backtest
10 trend-following strategies were compared on the full daily history of Bandwidth 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 21.0%, MDD -30.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.5%, drawdown -95.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.6%, MDD -52.9%, Sharpe 0.79, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.1%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 21.0%, MDD -30.6%, exposure 16%).
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=43, slow=53 |
31.6% | -52.9% | 0.79 | 0.60 | 11.2x | 47 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=3.9 |
21.9% | -31.6% | 0.78 | 0.69 | 5.7x | 14 | 22% |
| ADX / DI 방향성 period=21, threshold=31 |
21.0% | -30.6% | 0.77 | 0.69 | 5.4x | 18 | 16% |
| 볼린저 밴드 돌파 n=56, k=2.4 |
24.5% | -53.6% | 0.76 | 0.46 | 6.9x | 24 | 31% |
| Supertrend period=28, mult=3.7 |
25.8% | -80.6% | 0.73 | 0.32 | 7.6x | 38 | 52% |
| Donchian 채널 돌파 entryN=19, exitN=8 |
21.6% | -65.5% | 0.68 | 0.33 | 5.6x | 64 | 37% |
| ROC 모멘텀 n=47, threshold=0.02 |
19.7% | -76.0% | 0.62 | 0.26 | 4.9x | 98 | 49% |
| EMA 크로스오버 fast=52, slow=63 |
18.8% | -72.2% | 0.59 | 0.26 | 4.6x | 23 | 50% |
| Parabolic SAR step=0.02, maxStep=0.22 |
15.4% | -80.5% | 0.53 | 0.19 | 3.5x | 183 | 53% |
| MACD fast=16, slow=57, signal=10 |
15.0% | -86.0% | 0.52 | 0.17 | 3.4x | 114 | 51% |
| Buy and hold | 10.5% | -95.2% | 0.48 | 0.11 | 2.4x | 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 43-day average price crosses above the 53-day average
- Sell — Sell (to cash) when the 43-day average falls below the 53-day average