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 2.9%, 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% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=32, mult=4 |
0.5% | -16.8% | 0.13 | 0.03 | 1.1x | 4 | 2% |
| Supertrend period=12, mult=3.2 |
-1.0% | -66.4% | 0.12 | -0.01 | 0.9x | 61 | 55% |
| SMA 크로스오버 fast=21, slow=94 |
-1.3% | -57.3% | 0.11 | -0.02 | 0.9x | 32 | 54% |
| ROC 모멘텀 n=127, threshold=-0.09 |
-2.7% | -75.3% | 0.10 | -0.04 | 0.8x | 68 | 65% |
| Donchian 채널 돌파 entryN=20, exitN=65 |
-3.2% | -73.8% | 0.07 | -0.04 | 0.7x | 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 |
-5.1% | -71.7% | -0.07 | -0.07 | 0.6x | 109 | 45% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-9.3% | -77.6% | -0.18 | -0.12 | 0.4x | 179 | 53% |
| MACD fast=20, slow=38, signal=14 |
-13.0% | -88.3% | -0.33 | -0.15 | 0.3x | 135 | 52% |
| Buy and hold | 2.9% | -83.2% | 0.29 | 0.03 | 1.3x | 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