Trend-Following Backtester · Guide · backtest 한국어
equity · US
Block, Inc. backtest
10 trend-following strategies were compared on the full daily history of Block, Inc.. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 32.3%, MDD -45.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 18.6%, drawdown -86.1%).
Sharpe leader (same as main): MACD — CAGR 32.3%, MDD -45.1%, Sharpe 0.92, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 32.3%, MDD -45.1%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=22, slow=53, signal=13 |
32.3% | -45.1% | 0.92 | 0.72 | 20.0x | 95 | 52% |
| SMA 크로스오버 fast=12, slow=33 |
27.0% | -62.0% | 0.82 | 0.44 | 12.9x | 75 | 57% |
| Parabolic SAR step=0.01, maxStep=0.04 |
26.8% | -49.5% | 0.82 | 0.54 | 12.7x | 91 | 55% |
| Donchian 채널 돌파 entryN=119, exitN=40 |
20.9% | -53.7% | 0.80 | 0.39 | 7.6x | 11 | 32% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=10, mult=0.8 |
22.7% | -58.6% | 0.77 | 0.39 | 8.9x | 115 | 51% |
| Supertrend period=22, mult=2.6 |
23.4% | -53.5% | 0.76 | 0.44 | 9.5x | 83 | 53% |
| EMA 크로스오버 fast=4, slow=206 |
22.2% | -55.6% | 0.73 | 0.40 | 8.6x | 35 | 56% |
| 볼린저 밴드 돌파 n=21, k=1 |
20.0% | -51.3% | 0.71 | 0.39 | 7.0x | 145 | 47% |
| ROC 모멘텀 n=92, threshold=0.07 |
19.4% | -61.3% | 0.68 | 0.32 | 6.7x | 77 | 49% |
| ADX / DI 방향성 period=24, threshold=13 |
18.3% | -63.7% | 0.67 | 0.29 | 6.1x | 105 | 46% |
| Buy and hold | 18.6% | -86.1% | 0.59 | 0.22 | 6.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (22/53) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line