Trend-Following Backtester · Guide · backtest 한국어
equity · US
Blackbaud, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blackbaud, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.0%, MDD -30.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.0%, drawdown -77.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -30.5%, Sharpe 0.52, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 10.0%, MDD -30.5%, exposure 60%).
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=37, slow=210 |
10.0% | -30.5% | 0.52 | 0.33 | 8.2x | 28 | 60% |
| EMA 크로스오버 fast=57, slow=122 |
7.5% | -35.6% | 0.42 | 0.21 | 4.9x | 32 | 61% |
| Donchian 채널 돌파 entryN=30, exitN=78 |
8.0% | -58.2% | 0.41 | 0.14 | 5.5x | 39 | 79% |
| ROC 모멘텀 n=174, threshold=-0.13 |
7.2% | -48.2% | 0.39 | 0.15 | 4.7x | 66 | 75% |
| Supertrend period=22, mult=4.7 |
3.3% | -54.6% | 0.26 | 0.06 | 2.1x | 69 | 57% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=13, mult=3.1 |
0.8% | -29.9% | 0.14 | 0.03 | 1.2x | 31 | 8% |
| ADX / DI 방향성 period=34, threshold=23 |
0.2% | -13.1% | 0.07 | 0.02 | 1.0x | 16 | 4% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
-2.0% | -73.9% | 0.01 | -0.03 | 0.6x | 133 | 43% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-5.6% | -90.8% | -0.10 | -0.06 | 0.3x | 327 | 55% |
| MACD fast=23, slow=24, signal=22 |
-7.3% | -92.2% | -0.18 | -0.08 | 0.2x | 259 | 50% |
| Buy and hold | 8.0% | -77.7% | 0.39 | 0.10 | 5.5x | 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 37-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 37-day average falls below the 210-day average