Trend-Following Backtester · Guide · backtest 한국어
equity · US
ChargePoint Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of ChargePoint Holdings, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.0%, MDD -21.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.2%, drawdown -99.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.9%, MDD -37.1%, Sharpe 0.64, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.2%, MDD -56.2%, exposure 15%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 56.1%p higher than buy and hold, while drawdown improves by 62.4%p (CAGR 10.0%, MDD -21.1%, exposure 12%).
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=50, k=3.3 |
15.9% | -37.1% | 0.64 | 0.43 | 2.8x | 6 | 12% |
| ADX / DI 방향성 period=38, threshold=17 |
13.7% | -28.4% | 0.62 | 0.48 | 2.4x | 4 | 7% |
| SMA 크로스오버 fast=78, slow=214 |
16.2% | -56.2% | 0.59 | 0.29 | 2.8x | 4 | 15% |
| Donchian 채널 돌파 entryN=98, exitN=6 |
12.2% | -33.1% | 0.55 | 0.37 | 2.2x | 10 | 5% |
| EMA 크로스오버 fast=71, slow=150 |
14.3% | -56.2% | 0.54 | 0.25 | 2.5x | 2 | 17% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=8, mult=3.8 |
10.0% | -21.1% | 0.50 | 0.47 | 1.9x | 6 | 12% |
| ROC 모멘텀 n=181, threshold=0.12 |
10.3% | -56.2% | 0.45 | 0.18 | 2.0x | 8 | 14% |
| Supertrend period=14, mult=4.2 |
-11.0% | -90.6% | -0.02 | -0.12 | 0.4x | 24 | 39% |
| MACD fast=9, slow=26, signal=17 |
-22.9% | -95.0% | -0.16 | -0.24 | 0.2x | 118 | 50% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-33.6% | -97.3% | -0.48 | -0.34 | 0.1x | 164 | 45% |
| Buy and hold | -40.2% | -99.5% | -0.28 | -0.40 | 0.0x | 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 50-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 50-day middle average