Trend-Following Backtester · Guide · backtest 한국어
equity · US
DigitalOcean Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of DigitalOcean Holdings, Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 47.6%, MDD -43.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 19.1%, drawdown -84.8%).
Sharpe leader (same as main): Supertrend — CAGR 47.6%, MDD -43.3%, Sharpe 1.03, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 28.4%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 47.6%, MDD -43.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=5 |
47.6% | -43.3% | 1.03 | 1.10 | 8.3x | 12 | 54% |
| ROC 모멘텀 n=38, threshold=-0.07 |
40.8% | -64.7% | 0.89 | 0.63 | 6.4x | 60 | 64% |
| SMA 크로스오버 fast=6, slow=70 |
36.1% | -52.0% | 0.86 | 0.69 | 5.3x | 24 | 50% |
| EMA 크로스오버 fast=10, slow=54 |
35.9% | -59.1% | 0.86 | 0.61 | 5.3x | 20 | 51% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=9, mult=0.9 |
34.5% | -50.5% | 0.86 | 0.68 | 5.0x | 28 | 46% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
32.3% | -59.4% | 0.83 | 0.54 | 4.6x | 20 | 44% |
| Donchian 채널 돌파 entryN=43, exitN=19 |
31.5% | -67.4% | 0.81 | 0.47 | 4.4x | 18 | 44% |
| ADX / DI 방향성 period=24, threshold=16 |
21.2% | -54.9% | 0.65 | 0.39 | 2.8x | 28 | 36% |
| Parabolic SAR step=0.005, maxStep=0.16 |
12.7% | -64.3% | 0.48 | 0.20 | 1.9x | 50 | 52% |
| MACD fast=19, slow=43, signal=19 |
10.5% | -64.8% | 0.45 | 0.16 | 1.7x | 58 | 54% |
| Buy and hold | 19.1% | -84.8% | 0.60 | 0.23 | 2.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)