Trend-Following Backtester · Guide · backtest 한국어
equity · US
BlackLine, Inc. backtest
10 trend-following strategies were compared on the full daily history of BlackLine, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.4%, drawdown -83.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.5%, MDD -67.2%, Sharpe 0.24, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=50, slow=203 |
2.5% | -67.2% | 0.24 | 0.04 | 1.3x | 14 | 53% |
| SMA 크로스오버 fast=21, slow=94 |
-0.1% | -57.4% | 0.15 | -0.00 | 1.0x | 33 | 54% |
| Supertrend period=12, mult=3.2 |
-0.4% | -66.4% | 0.14 | -0.01 | 1.0x | 61 | 56% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=32, mult=4 |
0.5% | -16.8% | 0.13 | 0.03 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=127, threshold=-0.09 |
-2.2% | -75.6% | 0.11 | -0.03 | 0.8x | 69 | 65% |
| Donchian 채널 돌파 entryN=20, exitN=65 |
-2.6% | -76.0% | 0.09 | -0.03 | 0.8x | 27 | 68% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
-1.7% | -36.4% | -0.06 | -0.05 | 0.8x | 12 | 14% |
| ADX / DI 방향성 period=30, threshold=10 |
-6.4% | -76.2% | -0.12 | -0.08 | 0.5x | 115 | 45% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-9.2% | -77.6% | -0.18 | -0.12 | 0.4x | 181 | 53% |
| MACD fast=20, slow=38, signal=14 |
-13.4% | -88.3% | -0.34 | -0.15 | 0.2x | 137 | 52% |
| Buy and hold | 3.4% | -83.2% | 0.30 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 203-day EMA
- Sell — Sell when the 50-day EMA falls below the 203-day EMA