Trend-Following Backtester · Guide · backtest 한국어
equity · US
TripAdvisor, Inc. backtest
10 trend-following strategies were compared on the full daily history of TripAdvisor, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -20.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.0%, drawdown -91.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -64.1%, Sharpe 0.24, 28% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 1.0%, MDD -20.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=77, k=2 |
2.8% | -64.1% | 0.24 | 0.04 | 1.5x | 32 | 28% |
| EMA 크로스오버 fast=47, slow=182 |
0.9% | -70.5% | 0.17 | 0.01 | 1.1x | 18 | 33% |
| Supertrend period=12, mult=5 |
0.1% | -64.8% | 0.17 | 0.00 | 1.0x | 46 | 41% |
| ADX / DI 방향성 period=25, threshold=34 |
1.0% | -20.2% | 0.16 | 0.05 | 1.2x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.3 |
0.4% | -55.2% | 0.14 | 0.01 | 1.1x | 42 | 27% |
| SMA 크로스오버 fast=38, slow=215 |
-1.5% | -76.3% | 0.09 | -0.02 | 0.8x | 22 | 34% |
| Donchian 채널 돌파 entryN=106, exitN=18 |
-0.4% | -47.5% | 0.08 | -0.01 | 0.9x | 26 | 16% |
| ROC 모멘텀 n=83, threshold=0.05 |
-2.7% | -79.0% | 0.07 | -0.03 | 0.7x | 136 | 37% |
| MACD fast=6, slow=37, signal=14 |
-5.4% | -80.2% | 0.02 | -0.07 | 0.4x | 270 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-10.4% | -89.5% | -0.12 | -0.12 | 0.2x | 258 | 49% |
| Buy and hold | -7.0% | -91.6% | 0.11 | -0.08 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 77-day average (2× volatility)
- Sell — Sell when the close falls back to the 77-day middle average