Trend-Following Backtester · Guide · backtest 한국어
equity · US
SPS Commerce, Inc. backtest
10 trend-following strategies were compared on the full daily history of SPS Commerce, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.5%, MDD -43.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.7%, drawdown -76.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.5%, MDD -43.4%, Sharpe 0.67, 68% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.5%, MDD -78.2%, exposure 84%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 33.4%p (CAGR 16.5%, MDD -43.4%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=125, threshold=-0.03 |
16.5% | -43.4% | 0.67 | 0.38 | 12.1x | 95 | 68% |
| 볼린저 밴드 돌파 n=54, k=1.7 |
12.7% | -53.6% | 0.66 | 0.24 | 7.0x | 75 | 43% |
| Supertrend period=19, mult=2.9 |
13.3% | -50.4% | 0.63 | 0.26 | 7.7x | 99 | 54% |
| Donchian 채널 돌파 entryN=14, exitN=73 |
16.5% | -78.2% | 0.63 | 0.21 | 12.2x | 39 | 84% |
| SMA 크로스오버 fast=47, slow=199 |
15.2% | -53.0% | 0.62 | 0.29 | 10.1x | 19 | 64% |
| EMA 크로스오버 fast=15, slow=158 |
14.5% | -42.0% | 0.61 | 0.35 | 9.2x | 37 | 67% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=2.1 |
9.8% | -53.6% | 0.56 | 0.18 | 4.6x | 75 | 39% |
| ADX / DI 방향성 period=27, threshold=20 |
6.7% | -33.5% | 0.51 | 0.20 | 2.9x | 55 | 22% |
| MACD fast=16, slow=44, signal=19 |
2.3% | -73.0% | 0.22 | 0.03 | 1.5x | 185 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.0% | -79.1% | 0.21 | 0.03 | 1.4x | 147 | 53% |
| Buy and hold | 16.7% | -76.8% | 0.60 | 0.22 | 12.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 125-day return is greater than -3%
- Sell — Sell when the 125-day return drops to -3% or below