Trend-Following Backtester · Guide · backtest 한국어
equity · US
DoubleVerify Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of DoubleVerify Holdings, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.8%, MDD -8.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.9%, drawdown -81.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.8%, MDD -8.7%, Sharpe 0.30, 7% exposure.
CAGR reference leader: Supertrend — CAGR 3.0%, MDD -52.0%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 73.0%p (CAGR 1.8%, MDD -8.7%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=22, mult=2.3 |
1.8% | -8.7% | 0.30 | 0.21 | 1.1x | 9 | 7% |
| Supertrend period=21, mult=1.7 |
3.0% | -52.0% | 0.25 | 0.06 | 1.2x | 69 | 53% |
| 볼린저 밴드 돌파 n=38, k=3.1 |
1.7% | -18.3% | 0.22 | 0.09 | 1.1x | 6 | 8% |
| SMA 크로스오버 fast=20, slow=86 |
-2.2% | -59.5% | 0.10 | -0.04 | 0.9x | 15 | 38% |
| ADX / DI 방향성 period=37, threshold=14 |
-0.5% | -43.4% | 0.10 | -0.01 | 1.0x | 13 | 17% |
| MACD fast=7, slow=36, signal=7 |
-8.2% | -59.8% | -0.07 | -0.14 | 0.6x | 112 | 53% |
| EMA 크로스오버 fast=56, slow=163 |
-3.9% | -42.6% | -0.07 | -0.09 | 0.8x | 7 | 24% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.4% | -67.6% | -0.13 | -0.12 | 0.6x | 107 | 51% |
| Donchian 채널 돌파 entryN=92, exitN=21 |
-6.3% | -50.2% | -0.15 | -0.12 | 0.7x | 11 | 16% |
| ROC 모멘텀 n=86, threshold=0.01 |
-11.1% | -69.2% | -0.22 | -0.16 | 0.5x | 51 | 36% |
| Buy and hold | -16.9% | -81.7% | -0.07 | -0.21 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average