Trend-Following Backtester · Guide · backtest 한국어
equity · US
Flywire Corporation - Voting backtest
10 trend-following strategies were compared on the full daily history of Flywire Corporation - Voting. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -2.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -84.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.1%, MDD -46.5%, Sharpe 0.57, 64% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 30.2%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 0.5%, MDD -2.1%, exposure 0%).
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=34, threshold=-0.05 |
16.1% | -46.5% | 0.57 | 0.35 | 2.2x | 65 | 64% |
| MACD fast=22, slow=29, signal=17 |
10.9% | -43.5% | 0.46 | 0.25 | 1.7x | 50 | 50% |
| SMA 크로스오버 fast=22, slow=49 |
6.6% | -53.6% | 0.35 | 0.12 | 1.4x | 21 | 52% |
| Supertrend period=9, mult=2.2 |
4.7% | -50.6% | 0.31 | 0.09 | 1.3x | 50 | 50% |
| ADX / DI 방향성 period=25, threshold=33 |
0.5% | -2.1% | 0.26 | 0.24 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=15, exitN=30 |
1.7% | -50.7% | 0.24 | 0.03 | 1.1x | 23 | 68% |
| 볼린저 밴드 돌파 n=19, k=1.7 |
2.6% | -45.5% | 0.23 | 0.06 | 1.1x | 52 | 30% |
| EMA 크로스오버 fast=25, slow=36 |
-0.1% | -53.7% | 0.17 | -0.00 | 1.0x | 23 | 50% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-0.9% | -59.7% | 0.16 | -0.01 | 1.0x | 68 | 48% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=14, mult=2 |
0.2% | -30.2% | 0.09 | 0.01 | 1.0x | 18 | 10% |
| Buy and hold | -14.1% | -84.4% | 0.02 | -0.17 | 0.5x | 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 34-day return is greater than -5%
- Sell — Sell when the 34-day return drops to -5% or below