Trend-Following Backtester · Guide · backtest 한국어
equity · US
Broadcom Inc. backtest
10 trend-following strategies were compared on the full daily history of Broadcom 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 38.1%, drawdown -48.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.5%, MDD -48.3%, Sharpe 0.92, 79% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 27.5%, MDD -42.4%, exposure 84%.
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=45, exitN=75 |
27.5% | -48.3% | 0.92 | 0.57 | 61.9x | 23 | 79% |
| EMA 크로스오버 fast=51, slow=165 |
27.5% | -42.4% | 0.87 | 0.65 | 61.9x | 17 | 84% |
| SMA 크로스오버 fast=53, slow=125 |
26.1% | -41.5% | 0.87 | 0.63 | 51.3x | 29 | 75% |
| ROC 모멘텀 n=263, threshold=0.04 |
25.7% | -56.3% | 0.85 | 0.46 | 48.6x | 75 | 81% |
| Supertrend period=28, mult=4.5 |
17.1% | -48.3% | 0.69 | 0.35 | 14.5x | 64 | 69% |
| MACD fast=26, slow=70, signal=14 |
12.9% | -36.7% | 0.61 | 0.35 | 7.8x | 168 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
11.8% | -41.6% | 0.54 | 0.28 | 6.6x | 156 | 62% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=12, mult=1.7 |
9.5% | -42.6% | 0.50 | 0.22 | 4.7x | 128 | 49% |
| ADX / DI 방향성 period=37, threshold=12 |
8.2% | -48.4% | 0.46 | 0.17 | 3.8x | 108 | 40% |
| 볼린저 밴드 돌파 n=33, k=1.2 |
6.9% | -48.2% | 0.39 | 0.14 | 3.1x | 184 | 52% |
| Buy and hold | 38.1% | -48.8% | 1.04 | 0.78 | 239.4x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 75 days