Trend-Following Backtester · Guide · backtest 한국어
equity · US
Global-E Online Ltd. backtest
10 trend-following strategies were compared on the full daily history of Global-E Online Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.6%, MDD -44.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -79.1%).
Sharpe leader (same as main): Supertrend — CAGR 15.6%, MDD -44.5%, Sharpe 0.57, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 15.6%, MDD -44.5%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=5 |
15.6% | -44.5% | 0.57 | 0.35 | 2.2x | 13 | 47% |
| ADX / DI 방향성 period=24, threshold=40 |
4.6% | -14.5% | 0.47 | 0.32 | 1.3x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=14, mult=3.1 |
5.1% | -22.3% | 0.46 | 0.23 | 1.3x | 6 | 5% |
| EMA 크로스오버 fast=30, slow=37 |
6.7% | -42.1% | 0.36 | 0.16 | 1.4x | 19 | 48% |
| Donchian 채널 돌파 entryN=29, exitN=36 |
4.3% | -42.7% | 0.31 | 0.10 | 1.3x | 13 | 54% |
| 볼린저 밴드 돌파 n=41, k=2.6 |
4.7% | -33.5% | 0.30 | 0.14 | 1.3x | 15 | 24% |
| SMA 크로스오버 fast=16, slow=62 |
2.6% | -43.7% | 0.26 | 0.06 | 1.1x | 23 | 46% |
| ROC 모멘텀 n=38, threshold=-0.04 |
-7.3% | -65.3% | 0.06 | -0.11 | 0.7x | 99 | 58% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-11.6% | -82.5% | -0.02 | -0.14 | 0.5x | 116 | 52% |
| MACD fast=18, slow=54, signal=19 |
-20.0% | -76.3% | -0.25 | -0.26 | 0.3x | 58 | 52% |
| Buy and hold | 7.4% | -79.1% | 0.44 | 0.09 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)