Trend-Following Backtester · Guide · backtest 한국어
equity · US
JFrog Ltd. backtest
10 trend-following strategies were compared on the full daily history of JFrog Ltd.. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.9%, MDD -29.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.5%, drawdown -80.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.7%, MDD -39.2%, Sharpe 0.61, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 6.9%, MDD -29.6%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=4, slow=187 |
16.7% | -39.2% | 0.61 | 0.43 | 2.5x | 17 | 41% |
| ROC 모멘텀 n=148, threshold=0.12 |
15.4% | -46.7% | 0.57 | 0.33 | 2.3x | 35 | 40% |
| Donchian 채널 돌파 entryN=25, exitN=11 |
12.9% | -42.6% | 0.54 | 0.30 | 2.1x | 31 | 38% |
| MACD fast=19, slow=50, signal=16 |
13.8% | -64.4% | 0.53 | 0.22 | 2.2x | 59 | 50% |
| Supertrend period=18, mult=3.4 |
11.8% | -62.7% | 0.48 | 0.19 | 1.9x | 29 | 49% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=45, mult=2.6 |
8.6% | -41.1% | 0.44 | 0.21 | 1.6x | 23 | 24% |
| SMA 크로스오버 fast=14, slow=110 |
9.0% | -40.6% | 0.42 | 0.22 | 1.7x | 17 | 44% |
| 볼린저 밴드 돌파 n=35, k=2.1 |
6.9% | -29.6% | 0.37 | 0.23 | 1.5x | 31 | 30% |
| ADX / DI 방향성 period=22, threshold=28 |
4.3% | -22.5% | 0.31 | 0.19 | 1.3x | 10 | 9% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.2% | -71.8% | 0.16 | -0.02 | 0.9x | 51 | 53% |
| Buy and hold | 7.5% | -80.4% | 0.41 | 0.09 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 4-day EMA crosses above the 187-day EMA
- Sell — Sell when the 4-day EMA falls below the 187-day EMA