Trend-Following Backtester · Guide · backtest 한국어
equity · US
PubMatic, Inc. backtest
10 trend-following strategies were compared on the full daily history of PubMatic, Inc.. 10 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 7.8%, MDD -42.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -91.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.8%, MDD -42.9%, Sharpe 0.39, 20% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 7.8%, MDD -42.9%, exposure 20%).
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=20, atrPeriod=14, mult=2.3 |
7.8% | -42.9% | 0.39 | 0.18 | 1.5x | 26 | 20% |
| Supertrend period=20, mult=2.2 |
6.8% | -63.4% | 0.37 | 0.11 | 1.5x | 52 | 41% |
| 볼린저 밴드 돌파 n=13, k=1.1 |
5.9% | -53.9% | 0.34 | 0.11 | 1.4x | 106 | 36% |
| MACD fast=13, slow=57, signal=8 |
4.0% | -53.4% | 0.30 | 0.07 | 1.2x | 76 | 51% |
| ADX / DI 방향성 period=12, threshold=14 |
1.8% | -66.1% | 0.24 | 0.03 | 1.1x | 116 | 46% |
| ROC 모멘텀 n=31, threshold=0.16 |
0.9% | -60.2% | 0.18 | 0.02 | 1.1x | 50 | 21% |
| SMA 크로스오버 fast=57, slow=193 |
-1.1% | -45.2% | 0.13 | -0.02 | 0.9x | 7 | 22% |
| Donchian 채널 돌파 entryN=71, exitN=50 |
-0.3% | -46.6% | 0.13 | -0.01 | 1.0x | 7 | 20% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-8.4% | -71.7% | 0.01 | -0.12 | 0.6x | 142 | 47% |
| EMA 크로스오버 fast=14, slow=127 |
-5.7% | -54.2% | -0.05 | -0.10 | 0.7x | 11 | 26% |
| Buy and hold | -14.1% | -91.0% | 0.14 | -0.15 | 0.4x | 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 20-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average