Trend-Following Backtester · Guide · backtest 한국어
equity · US
XPEL, Inc. backtest
10 trend-following strategies were compared on the full daily history of XPEL, Inc.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 36.3%, MDD -59.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 36.0%, drawdown -75.6%).
Sharpe leader (same as main): MACD — CAGR 36.3%, MDD -59.4%, Sharpe 0.94, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 40.2%, MDD -71.4%, exposure 90%.
Return/drawdown alternative: MACD — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR 36.3%, MDD -59.4%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=20, signal=11 |
36.3% | -59.4% | 0.94 | 0.61 | 9.2x | 111 | 50% |
| Donchian 채널 돌파 entryN=7, exitN=67 |
40.2% | -71.4% | 0.87 | 0.56 | 11.3x | 21 | 90% |
| SMA 크로스오버 fast=46, slow=51 |
31.5% | -52.9% | 0.82 | 0.59 | 7.1x | 79 | 54% |
| ADX / DI 방향성 period=39, threshold=29 |
13.8% | -19.7% | 0.79 | 0.70 | 2.5x | 4 | 7% |
| EMA 크로스오버 fast=37, slow=192 |
25.5% | -53.1% | 0.78 | 0.48 | 5.1x | 5 | 50% |
| Supertrend period=22, mult=4.8 |
25.3% | -79.5% | 0.72 | 0.32 | 5.0x | 19 | 56% |
| ROC 모멘텀 n=74, threshold=0.1 |
20.3% | -55.2% | 0.67 | 0.37 | 3.8x | 59 | 43% |
| Parabolic SAR step=0.045, maxStep=0.12 |
21.7% | -58.3% | 0.65 | 0.37 | 4.1x | 190 | 55% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=3.2 |
13.3% | -30.4% | 0.65 | 0.44 | 2.5x | 16 | 13% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
12.0% | -33.1% | 0.58 | 0.36 | 2.3x | 12 | 16% |
| Buy and hold | 36.0% | -75.6% | 0.80 | 0.48 | 9.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/20) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line