Trend-Following Backtester · Guide · backtest 한국어
equity · US
Etsy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Etsy, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.9%, MDD -58.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.2%, drawdown -86.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.3%, MDD -63.5%, Sharpe 0.76, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 17.9%, MDD -58.9%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=108 |
26.3% | -63.5% | 0.76 | 0.41 | 14.0x | 19 | 54% |
| Donchian 채널 돌파 entryN=96, exitN=43 |
17.9% | -58.9% | 0.64 | 0.30 | 6.4x | 17 | 41% |
| ROC 모멘텀 n=139, threshold=0 |
18.6% | -67.6% | 0.63 | 0.27 | 6.8x | 69 | 52% |
| EMA 크로스오버 fast=46, slow=112 |
16.4% | -62.6% | 0.58 | 0.26 | 5.6x | 15 | 50% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
6.5% | -28.5% | 0.46 | 0.23 | 2.0x | 12 | 14% |
| Supertrend period=22, mult=4.9 |
9.4% | -76.8% | 0.42 | 0.12 | 2.8x | 35 | 51% |
| ADX / DI 방향성 period=21, threshold=13 |
9.2% | -60.5% | 0.42 | 0.15 | 2.7x | 167 | 46% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=27, mult=1.3 |
6.6% | -56.1% | 0.36 | 0.12 | 2.1x | 130 | 25% |
| MACD fast=12, slow=37, signal=16 |
1.0% | -79.3% | 0.23 | 0.01 | 1.1x | 154 | 53% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-2.0% | -86.0% | 0.15 | -0.02 | 0.8x | 151 | 50% |
| Buy and hold | 9.2% | -86.3% | 0.44 | 0.11 | 2.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 108-day average
- Sell — Sell (to cash) when the 42-day average falls below the 108-day average