Trend-Following Backtester · Guide · backtest 한국어
equity · US
Grab Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Grab Holdings Limited. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.2%, MDD -11.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -19.1%, drawdown -86.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.2%, MDD -11.8%, Sharpe 0.37, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.6%, MDD -38.6%, exposure 22%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.3%p higher than buy and hold, while drawdown improves by 74.6%p (CAGR 3.2%, MDD -11.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=3.2 |
3.2% | -11.8% | 0.37 | 0.27 | 1.2x | 4 | 3% |
| EMA 크로스오버 fast=27, slow=395 |
3.6% | -38.6% | 0.27 | 0.09 | 1.2x | 2 | 22% |
| ROC 모멘텀 n=160, threshold=-0.02 |
-2.2% | -59.6% | 0.11 | -0.04 | 0.9x | 50 | 46% |
| Donchian 채널 돌파 entryN=117, exitN=16 |
-1.5% | -49.6% | 0.02 | -0.03 | 0.9x | 10 | 10% |
| ADX / DI 방향성 period=21, threshold=28 |
-3.5% | -49.0% | -0.02 | -0.07 | 0.8x | 10 | 9% |
| MACD fast=13, slow=71, signal=23 |
-11.6% | -71.6% | -0.03 | -0.16 | 0.5x | 55 | 50% |
| 볼린저 밴드 돌파 n=26, k=1.7 |
-5.7% | -41.6% | -0.04 | -0.14 | 0.7x | 44 | 26% |
| SMA 크로스오버 fast=9, slow=182 |
-9.2% | -66.0% | -0.11 | -0.14 | 0.6x | 18 | 41% |
| Supertrend period=14, mult=2.6 |
-10.2% | -58.8% | -0.14 | -0.17 | 0.5x | 45 | 39% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-26.0% | -86.6% | -0.59 | -0.30 | 0.2x | 118 | 46% |
| Buy and hold | -19.1% | -86.5% | -0.05 | -0.22 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average