Trend-Following Backtester · Guide · backtest 한국어
equity · US
EverCommerce Inc. backtest
10 trend-following strategies were compared on the full daily history of EverCommerce Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.5%, MDD -26.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.5%, drawdown -74.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.1%, MDD -30.9%, Sharpe 0.60, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.6%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 4.5%, MDD -26.5%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=2.1 |
12.1% | -30.9% | 0.60 | 0.39 | 1.8x | 44 | 23% |
| ROC 모멘텀 n=20, threshold=0.11 |
9.3% | -34.2% | 0.51 | 0.27 | 1.6x | 66 | 20% |
| MACD fast=13, slow=26, signal=8 |
11.3% | -36.9% | 0.49 | 0.31 | 1.7x | 86 | 50% |
| ADX / DI 방향성 period=9, threshold=32 |
4.5% | -26.5% | 0.32 | 0.17 | 1.3x | 38 | 15% |
| Supertrend period=28, mult=2.3 |
4.3% | -49.7% | 0.29 | 0.09 | 1.2x | 44 | 41% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=5, mult=1.3 |
0.3% | -39.7% | 0.14 | 0.01 | 1.0x | 40 | 29% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-2.6% | -47.4% | 0.09 | -0.05 | 0.9x | 100 | 51% |
| Donchian 채널 돌파 entryN=7, exitN=46 |
-5.7% | -50.5% | 0.08 | -0.11 | 0.7x | 23 | 81% |
| SMA 크로스오버 fast=42, slow=206 |
-8.8% | -53.6% | -0.17 | -0.16 | 0.6x | 8 | 38% |
| EMA 크로스오버 fast=42, slow=147 |
-12.4% | -61.7% | -0.30 | -0.20 | 0.5x | 12 | 38% |
| Buy and hold | -12.5% | -74.1% | -0.02 | -0.17 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 13-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 13-day middle average