Trend-Following Backtester · Guide · backtest 한국어
equity · US
Riskified Ltd. backtest
10 trend-following strategies were compared on the full daily history of Riskified Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.5%, MDD -6.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.4%, drawdown -90.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -40.1%, Sharpe 0.34, 32% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.1%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR -0.5%, MDD -6.2%, exposure 2%).
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=56, slow=177 |
5.7% | -40.1% | 0.34 | 0.14 | 1.3x | 9 | 32% |
| Supertrend period=19, mult=2.5 |
3.8% | -42.1% | 0.27 | 0.09 | 1.2x | 35 | 42% |
| EMA 크로스오버 fast=49, slow=62 |
-0.5% | -49.8% | 0.12 | -0.01 | 1.0x | 11 | 37% |
| ADX / DI 방향성 period=32, threshold=15 |
-0.3% | -25.0% | 0.06 | -0.01 | 1.0x | 17 | 13% |
| Donchian 채널 돌파 entryN=105, exitN=50 |
-2.0% | -36.2% | 0.00 | -0.06 | 0.9x | 7 | 20% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=1.2 |
-3.1% | -50.2% | 0.00 | -0.06 | 0.9x | 29 | 33% |
| ROC 모멘텀 n=55, threshold=0.04 |
-4.1% | -53.2% | -0.02 | -0.08 | 0.8x | 73 | 37% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
-0.5% | -6.2% | -0.09 | -0.08 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-10.3% | -53.9% | -0.13 | -0.19 | 0.6x | 122 | 50% |
| MACD fast=18, slow=49, signal=14 |
-18.5% | -71.1% | -0.35 | -0.26 | 0.4x | 51 | 54% |
| Buy and hold | -24.4% | -90.2% | -0.24 | -0.27 | 0.2x | 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 56-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 56-day average falls below the 177-day average