Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xometry, Inc. backtest
10 trend-following strategies were compared on the full daily history of Xometry, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.1%, MDD -31.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -87.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 46.7%, MDD -52.3%, Sharpe 0.97, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 45.7%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 23.1%, MDD -31.7%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=35, exitN=36 |
46.7% | -52.3% | 0.97 | 0.89 | 7.2x | 11 | 47% |
| 볼린저 밴드 돌파 n=46, k=1.5 |
38.5% | -39.0% | 0.96 | 0.99 | 5.4x | 22 | 37% |
| SMA 크로스오버 fast=25, slow=50 |
43.2% | -58.8% | 0.91 | 0.73 | 6.4x | 24 | 49% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=2.1 |
30.9% | -40.3% | 0.90 | 0.77 | 4.0x | 22 | 24% |
| ROC 모멘텀 n=43, threshold=0.12 |
33.7% | -40.3% | 0.89 | 0.83 | 4.5x | 68 | 37% |
| ADX / DI 방향성 period=13, threshold=25 |
23.1% | -31.7% | 0.78 | 0.73 | 2.9x | 44 | 28% |
| Parabolic SAR step=0.025, maxStep=0.22 |
28.0% | -60.9% | 0.73 | 0.46 | 3.6x | 125 | 51% |
| EMA 크로스오버 fast=7, slow=59 |
26.0% | -51.4% | 0.70 | 0.51 | 3.3x | 25 | 48% |
| Supertrend period=27, mult=2 |
22.4% | -45.3% | 0.66 | 0.49 | 2.8x | 57 | 41% |
| MACD fast=18, slow=35, signal=12 |
20.4% | -56.5% | 0.60 | 0.36 | 2.6x | 61 | 49% |
| Buy and hold | 1.0% | -87.2% | 0.42 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 35 days
- Sell — Sell when price breaks below the lowest low of the last 36 days