Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cricut, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cricut, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.9%, MDD -33.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -18.6%, drawdown -91.2%).
Sharpe leader (same as main): Supertrend — CAGR 8.5%, MDD -58.3%, Sharpe 0.39, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.1%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 5.9%, MDD -33.3%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=3.1 |
8.5% | -58.3% | 0.39 | 0.15 | 1.6x | 27 | 29% |
| ADX / DI 방향성 period=18, threshold=26 |
5.9% | -33.3% | 0.33 | 0.18 | 1.4x | 17 | 11% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=19, mult=1.9 |
3.4% | -48.6% | 0.26 | 0.07 | 1.2x | 25 | 15% |
| 볼린저 밴드 돌파 n=33, k=2.1 |
2.4% | -41.4% | 0.23 | 0.06 | 1.1x | 23 | 17% |
| Donchian 채널 돌파 entryN=65, exitN=21 |
-0.3% | -50.9% | 0.14 | -0.01 | 1.0x | 11 | 16% |
| SMA 크로스오버 fast=54, slow=177 |
-2.1% | -60.4% | 0.11 | -0.03 | 0.9x | 7 | 33% |
| ROC 모멘텀 n=10, threshold=0.13 |
-2.8% | -49.9% | -0.00 | -0.06 | 0.9x | 64 | 10% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-18.6% | -84.3% | -0.21 | -0.22 | 0.3x | 137 | 46% |
| MACD fast=7, slow=26, signal=6 |
-22.2% | -86.6% | -0.32 | -0.26 | 0.3x | 152 | 50% |
| EMA 크로스오버 fast=13, slow=195 |
-10.3% | -64.6% | -0.39 | -0.16 | 0.6x | 9 | 12% |
| Buy and hold | -18.6% | -91.2% | 0.01 | -0.20 | 0.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)