Trend-Following Backtester · Guide · backtest 한국어
equity · US
Five9, Inc. backtest
10 trend-following strategies were compared on the full daily history of Five9, Inc.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 31.8%, MDD -40.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.9%, drawdown -93.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.8%, MDD -40.8%, Sharpe 0.96, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 19.0%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 31.8%, MDD -40.8%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=174, threshold=0.03 |
31.8% | -40.8% | 0.96 | 0.78 | 30.9x | 37 | 53% |
| EMA 크로스오버 fast=14, slow=181 |
29.7% | -47.0% | 0.90 | 0.63 | 25.2x | 11 | 56% |
| Donchian 채널 돌파 entryN=96, exitN=88 |
27.5% | -57.8% | 0.86 | 0.47 | 20.3x | 7 | 54% |
| SMA 크로스오버 fast=15, slow=200 |
27.8% | -62.6% | 0.86 | 0.44 | 21.0x | 11 | 57% |
| ADX / DI 방향성 period=27, threshold=11 |
18.1% | -41.3% | 0.65 | 0.44 | 7.9x | 135 | 49% |
| Supertrend period=24, mult=4.5 |
12.0% | -74.3% | 0.51 | 0.16 | 4.1x | 41 | 49% |
| 볼린저 밴드 돌파 n=46, k=2 |
10.5% | -47.8% | 0.50 | 0.22 | 3.5x | 55 | 35% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=20, mult=2.6 |
3.8% | -12.9% | 0.48 | 0.29 | 1.6x | 16 | 4% |
| MACD fast=8, slow=23, signal=6 |
3.2% | -84.3% | 0.27 | 0.04 | 1.5x | 332 | 52% |
| Parabolic SAR step=0.03, maxStep=0.18 |
0.8% | -86.5% | 0.20 | 0.01 | 1.1x | 329 | 52% |
| Buy and hold | 12.9% | -93.5% | 0.49 | 0.14 | 4.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 174-day return is greater than 3%
- Sell — Sell when the 174-day return drops to 3% or below