Trend-Following Backtester · Guide · backtest 한국어
equity · US
MediaAlpha, Inc. backtest
10 trend-following strategies were compared on the full daily history of MediaAlpha, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.4%, MDD -32.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.2%, drawdown -91.6%).
Sharpe leader (same as main): Supertrend — CAGR 24.1%, MDD -58.6%, Sharpe 0.72, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 39.3%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 4.4%, MDD -32.7%, exposure 13%).
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=23, mult=1.5 |
24.1% | -58.6% | 0.72 | 0.41 | 3.5x | 76 | 44% |
| 볼린저 밴드 돌파 n=12, k=1.8 |
20.6% | -38.8% | 0.69 | 0.53 | 2.9x | 78 | 30% |
| Donchian 채널 돌파 entryN=10, exitN=29 |
18.6% | -60.7% | 0.59 | 0.31 | 2.7x | 31 | 61% |
| MACD fast=11, slow=34, signal=12 |
16.5% | -70.4% | 0.56 | 0.23 | 2.4x | 78 | 52% |
| SMA 크로스오버 fast=7, slow=13 |
14.9% | -68.7% | 0.53 | 0.22 | 2.2x | 122 | 49% |
| ROC 모멘텀 n=13, threshold=0.1 |
13.2% | -43.9% | 0.53 | 0.30 | 2.0x | 128 | 25% |
| Parabolic SAR step=0.025, maxStep=0.08 |
14.5% | -65.0% | 0.53 | 0.22 | 2.2x | 99 | 45% |
| ADX / DI 방향성 period=8, threshold=39 |
10.1% | -38.2% | 0.49 | 0.26 | 1.7x | 46 | 17% |
| EMA 크로스오버 fast=5, slow=36 |
6.0% | -61.6% | 0.35 | 0.10 | 1.4x | 49 | 47% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=24, mult=2.3 |
4.4% | -32.7% | 0.31 | 0.13 | 1.3x | 20 | 13% |
| Buy and hold | -15.2% | -91.6% | 0.08 | -0.17 | 0.4x | 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) — 23-day volatility, 1.5× band
- Sell — Sell when price drops below the trend line (flips down)