Trend-Following Backtester · Guide · backtest 한국어
equity · US
Adobe Inc. backtest
10 trend-following strategies were compared on the full daily history of Adobe Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.8%, drawdown -79.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.3%, MDD -77.4%, Sharpe 0.61, 88% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=70 |
18.3% | -77.4% | 0.61 | 0.24 | 841.9x | 137 | 88% |
| ROC 모멘텀 n=71, threshold=-0.15 |
16.8% | -68.0% | 0.59 | 0.25 | 495.5x | 217 | 83% |
| Supertrend period=13, mult=4.4 |
13.4% | -72.3% | 0.55 | 0.19 | 154.2x | 155 | 58% |
| EMA 크로스오버 fast=40, slow=88 |
13.7% | -73.8% | 0.54 | 0.18 | 168.6x | 89 | 65% |
| SMA 크로스오버 fast=23, slow=126 |
12.5% | -77.0% | 0.51 | 0.16 | 111.6x | 95 | 63% |
| MACD fast=30, slow=92, signal=10 |
10.9% | -63.6% | 0.48 | 0.17 | 62.6x | 401 | 53% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.8% | -75.4% | 0.45 | 0.13 | 42.2x | 345 | 58% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=29, mult=4 |
6.0% | -54.5% | 0.42 | 0.11 | 10.5x | 78 | 18% |
| ADX / DI 방향성 period=21, threshold=39 |
2.9% | -26.2% | 0.37 | 0.11 | 3.2x | 30 | 3% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
5.6% | -58.9% | 0.35 | 0.09 | 8.8x | 120 | 28% |
| Buy and hold | 19.8% | -79.9% | 0.62 | 0.25 | 1381.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 8 days
- Sell — Sell when price breaks below the lowest low of the last 70 days