Trend-Following Backtester · Guide · backtest 한국어
equity · US
Box, Inc. backtest
10 trend-following strategies were compared on the full daily history of Box, Inc.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.0%, MDD -45.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.7%, drawdown -68.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.0%, MDD -45.1%, Sharpe 0.38, 68% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 7.0%, MDD -45.1%, 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=197, threshold=-0.09 |
7.0% | -45.1% | 0.38 | 0.16 | 2.2x | 51 | 68% |
| ADX / DI 방향성 period=23, threshold=33 |
0.7% | -11.4% | 0.29 | 0.07 | 1.1x | 4 | 1% |
| SMA 크로스오버 fast=77, slow=217 |
4.0% | -51.7% | 0.28 | 0.08 | 1.6x | 17 | 55% |
| EMA 크로스오버 fast=13, slow=175 |
2.4% | -55.7% | 0.23 | 0.04 | 1.3x | 35 | 54% |
| Donchian 채널 돌파 entryN=31, exitN=63 |
-0.9% | -51.8% | 0.13 | -0.02 | 0.9x | 31 | 68% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=3.6 |
0.2% | -5.9% | 0.10 | 0.04 | 1.0x | 6 | 2% |
| Supertrend period=26, mult=5 |
-1.9% | -54.1% | 0.07 | -0.04 | 0.8x | 39 | 52% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
-0.1% | -13.7% | 0.01 | -0.01 | 1.0x | 8 | 2% |
| MACD fast=21, slow=22, signal=18 |
-5.6% | -62.5% | -0.05 | -0.09 | 0.5x | 155 | 53% |
| Parabolic SAR step=0.06, maxStep=0.14 |
-6.5% | -70.1% | -0.08 | -0.09 | 0.5x | 349 | 51% |
| Buy and hold | 3.7% | -68.6% | 0.30 | 0.05 | 1.5x | 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 197-day return is greater than -9%
- Sell — Sell when the 197-day return drops to -9% or below