Trend-Following Backtester · Guide · backtest 한국어
equity · US
Grindr Inc. backtest
10 trend-following strategies were compared on the full daily history of Grindr Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 31.8%, MDD -49.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.7%, drawdown -87.3%).
Sharpe leader (same as main): Supertrend — CAGR 31.8%, MDD -49.9%, Sharpe 0.54, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 31.8%, MDD -49.9%, exposure 56%).
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=19, mult=3.1 |
31.8% | -49.9% | 0.54 | 0.64 | 4.7x | 22 | 56% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=11, mult=0.9 |
15.2% | -74.4% | 0.41 | 0.20 | 2.2x | 21 | 52% |
| SMA 크로스오버 fast=48, slow=90 |
12.8% | -84.5% | 0.40 | 0.15 | 2.0x | 7 | 63% |
| ROC 모멘텀 n=46, threshold=-0.02 |
13.2% | -75.7% | 0.40 | 0.17 | 2.0x | 55 | 69% |
| Donchian 채널 돌파 entryN=35, exitN=75 |
12.5% | -82.2% | 0.40 | 0.15 | 1.9x | 9 | 72% |
| EMA 크로스오버 fast=10, slow=84 |
10.0% | -82.5% | 0.37 | 0.12 | 1.7x | 13 | 59% |
| ADX / DI 방향성 period=78, threshold=17 |
8.9% | -87.3% | 0.37 | 0.10 | 1.6x | 6 | 48% |
| 볼린저 밴드 돌파 n=20, k=1.8 |
9.6% | -71.7% | 0.35 | 0.13 | 1.7x | 52 | 35% |
| MACD fast=11, slow=32, signal=10 |
2.8% | -79.9% | 0.30 | 0.04 | 1.2x | 108 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-12.9% | -79.5% | -0.12 | -0.16 | 0.5x | 92 | 56% |
| Buy and hold | 6.7% | -87.3% | 0.37 | 0.08 | 1.4x | 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) — 19-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)