Trend-Following Backtester · Guide · backtest 한국어
equity · US
Roku, Inc. backtest
10 trend-following strategies were compared on the full daily history of Roku, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 45.5%, MDD -35.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 23.7%, drawdown -91.9%).
Sharpe leader (same as main): Supertrend — CAGR 45.5%, MDD -35.5%, Sharpe 0.99, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 56.4%p (CAGR 45.5%, MDD -35.5%, exposure 51%).
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=21, mult=4.2 |
45.5% | -35.5% | 0.99 | 1.28 | 28.3x | 31 | 51% |
| Donchian 채널 돌파 entryN=29, exitN=47 |
31.7% | -54.6% | 0.78 | 0.58 | 11.7x | 23 | 61% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=1.3 |
22.4% | -44.3% | 0.68 | 0.51 | 6.1x | 61 | 44% |
| ADX / DI 방향성 period=35, threshold=7 |
23.6% | -57.4% | 0.68 | 0.41 | 6.6x | 87 | 58% |
| EMA 크로스오버 fast=9, slow=145 |
23.3% | -56.1% | 0.68 | 0.42 | 6.5x | 23 | 56% |
| SMA 크로스오버 fast=33, slow=66 |
22.8% | -65.2% | 0.67 | 0.35 | 6.3x | 27 | 54% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
20.3% | -48.8% | 0.66 | 0.42 | 5.2x | 49 | 43% |
| ROC 모멘텀 n=58, threshold=0.11 |
19.2% | -67.4% | 0.62 | 0.28 | 4.8x | 89 | 44% |
| MACD fast=13, slow=29, signal=18 |
2.0% | -91.0% | 0.28 | 0.02 | 1.2x | 118 | 52% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-0.6% | -88.0% | 0.23 | -0.01 | 0.9x | 159 | 52% |
| Buy and hold | 23.7% | -91.9% | 0.65 | 0.26 | 6.6x | 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) — 21-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)