Trend-Following Backtester · Guide · backtest 한국어

equity · US

Dave Inc. backtest

10 trend-following strategies were compared on the full daily history of Dave Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 94.0%, MDD -43.7%).

Data 2021-04-26 ~ 2026-07-31daily bars 1,323 (5.3 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 3.2%, drawdown -99.0%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 93.3%, MDD -47.4%, Sharpe 1.29, 46% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 94.0%, MDD -43.7%, exposure 48%.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 90.1%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR 94.0%, MDD -43.7%, exposure 48%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=30, slow=207
93.3%-47.4%1.291.9732.1x346%
ROC 모멘텀
n=180, threshold=0.01
94.0%-43.7%1.282.1532.7x1148%
EMA 크로스오버
fast=75, slow=99
80.9%-50.2%1.191.6122.6x551%
볼린저 밴드 돌파
n=61, k=1.3
71.0%-46.3%1.141.5316.8x2337%
Supertrend
period=32, mult=2.4
65.7%-59.2%1.121.1114.3x4645%
Parabolic SAR
step=0.02, maxStep=0.38
64.1%-71.5%1.060.9013.5x10848%
Keltner 채널 돌파
emaPeriod=23, atrPeriod=27, mult=1.4
55.1%-54.1%0.981.0210.1x4228%
MACD
fast=10, slow=16, signal=10
42.3%-90.4%0.840.476.4x11253%
ADX / DI 방향성
period=21, threshold=23
38.5%-63.9%0.830.605.5x2428%
Donchian 채널 돌파
entryN=26, exitN=68
40.4%-82.4%0.810.496.0x1360%
Buy and hold3.2%-99.0%0.500.031.2x1100%
0.1 1x 10x 2022 2023 2024 2025 2026 ROC 모멘텀SMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -25% -50% -74% -99% 2022 2023 2024 2025 2026 Buy and holdROC 모멘텀SMA 크로스오버
SMA 크로스오버 maximum drawdown -47.4% (2025-07-03 → 2026-05-22), recovered after 377 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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