Trend-Following Backtester · Guide · backtest 한국어
equity · US
Twilio Inc. backtest
10 trend-following strategies were compared on the full daily history of Twilio Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 38.2%, MDD -45.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.9%, drawdown -90.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 38.2%, MDD -45.2%, Sharpe 0.97, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 45.2%p (CAGR 38.2%, MDD -45.2%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=132, threshold=0.06 |
38.2% | -45.2% | 0.97 | 0.85 | 27.1x | 75 | 50% |
| Donchian 채널 돌파 entryN=105, exitN=70 |
26.5% | -50.5% | 0.81 | 0.53 | 11.0x | 9 | 41% |
| Supertrend period=8, mult=4.3 |
28.1% | -53.3% | 0.79 | 0.53 | 12.5x | 35 | 53% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
15.9% | -30.6% | 0.79 | 0.52 | 4.5x | 10 | 17% |
| EMA 크로스오버 fast=50, slow=140 |
24.4% | -49.1% | 0.73 | 0.50 | 9.3x | 13 | 51% |
| SMA 크로스오버 fast=19, slow=55 |
21.5% | -64.9% | 0.67 | 0.33 | 7.3x | 45 | 53% |
| ADX / DI 방향성 period=26, threshold=12 |
16.1% | -48.6% | 0.58 | 0.33 | 4.6x | 101 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=1.4 |
13.3% | -56.7% | 0.51 | 0.24 | 3.6x | 69 | 45% |
| Parabolic SAR step=0.02, maxStep=0.3 |
13.0% | -76.9% | 0.49 | 0.17 | 3.5x | 219 | 51% |
| MACD fast=17, slow=59, signal=19 |
-1.2% | -88.6% | 0.19 | -0.01 | 0.9x | 107 | 53% |
| Buy and hold | 22.9% | -90.4% | 0.64 | 0.25 | 8.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 132-day return is greater than 6%
- Sell — Sell when the 132-day return drops to 6% or below