Trend-Following Backtester · Guide · backtest 한국어
equity · US
Joby Aviation, Inc. backtest
10 trend-following strategies were compared on the full daily history of Joby Aviation, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.7%, MDD -43.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.2%, drawdown -79.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -51.8%, Sharpe 0.41, 33% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 16.4%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 4.7%, MDD -43.3%, exposure 17%).
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=52, slow=154 |
9.2% | -51.8% | 0.41 | 0.18 | 1.7x | 12 | 33% |
| 볼린저 밴드 돌파 n=36, k=1.3 |
8.8% | -55.3% | 0.41 | 0.16 | 1.6x | 40 | 29% |
| Donchian 채널 돌파 entryN=117, exitN=40 |
8.2% | -56.3% | 0.39 | 0.15 | 1.6x | 6 | 23% |
| EMA 크로스오버 fast=68, slow=188 |
7.7% | -55.2% | 0.38 | 0.14 | 1.5x | 4 | 33% |
| Supertrend period=10, mult=4.7 |
2.7% | -66.0% | 0.34 | 0.04 | 1.2x | 18 | 53% |
| ROC 모멘텀 n=37, threshold=0.23 |
4.7% | -43.3% | 0.31 | 0.11 | 1.3x | 48 | 17% |
| ADX / DI 방향성 period=27, threshold=23 |
2.7% | -49.6% | 0.26 | 0.06 | 1.2x | 16 | 17% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=16, mult=1.7 |
1.1% | -63.4% | 0.26 | 0.02 | 1.1x | 32 | 24% |
| MACD fast=16, slow=32, signal=16 |
-16.5% | -79.4% | -0.03 | -0.21 | 0.3x | 76 | 53% |
| Parabolic SAR step=0.04, maxStep=0.2 |
-20.2% | -83.9% | -0.15 | -0.24 | 0.3x | 180 | 47% |
| Buy and hold | -7.2% | -79.7% | 0.27 | -0.09 | 0.6x | 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 52-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 52-day average falls below the 154-day average