Trend-Following Backtester · Guide · backtest 한국어
equity · US
Roblox Corporation backtest
10 trend-following strategies were compared on the full daily history of Roblox Corporation. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.9%, MDD -17.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.1%, drawdown -82.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.6%, MDD -25.9%, Sharpe 0.73, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.7%p higher than buy and hold, while drawdown improves by 56.9%p (CAGR 6.9%, MDD -17.9%, exposure 9%).
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=31, atrPeriod=12, mult=3.5 |
13.6% | -25.9% | 0.73 | 0.52 | 2.0x | 8 | 15% |
| ADX / DI 방향성 period=28, threshold=27 |
6.9% | -17.9% | 0.56 | 0.38 | 1.4x | 8 | 9% |
| 볼린저 밴드 돌파 n=32, k=2.7 |
10.5% | -28.8% | 0.54 | 0.36 | 1.7x | 12 | 18% |
| EMA 크로스오버 fast=16, slow=165 |
8.7% | -62.8% | 0.40 | 0.14 | 1.6x | 10 | 41% |
| SMA 크로스오버 fast=21, slow=258 |
7.6% | -46.9% | 0.39 | 0.16 | 1.5x | 8 | 42% |
| Donchian 채널 돌파 entryN=107, exitN=15 |
6.2% | -40.2% | 0.39 | 0.15 | 1.4x | 10 | 18% |
| ROC 모멘텀 n=39, threshold=0.11 |
2.8% | -46.8% | 0.26 | 0.06 | 1.2x | 64 | 34% |
| Supertrend period=16, mult=2.6 |
0.1% | -67.6% | 0.25 | 0.00 | 1.0x | 46 | 47% |
| MACD fast=18, slow=32, signal=14 |
-8.1% | -74.1% | 0.09 | -0.11 | 0.6x | 73 | 52% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-18.3% | -70.6% | -0.18 | -0.26 | 0.3x | 150 | 48% |
| Buy and hold | -9.1% | -82.8% | 0.22 | -0.11 | 0.6x | 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 31-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average