Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cadence Design Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cadence Design Systems, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.7%, MDD -69.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.0%, drawdown -93.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.7%, MDD -69.0%, Sharpe 0.58, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 15.7%, MDD -69.0%, exposure 84%).
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=16, exitN=70 |
15.7% | -69.0% | 0.58 | 0.23 | 307.2x | 92 | 84% |
| SMA 크로스오버 fast=6, slow=117 |
12.7% | -57.1% | 0.55 | 0.22 | 108.2x | 142 | 64% |
| ROC 모멘텀 n=128, threshold=-0.09 |
12.2% | -73.4% | 0.51 | 0.17 | 92.0x | 215 | 79% |
| EMA 크로스오버 fast=14, slow=75 |
11.1% | -65.7% | 0.50 | 0.17 | 62.1x | 150 | 65% |
| 볼린저 밴드 돌파 n=94, k=0.9 |
10.0% | -62.6% | 0.49 | 0.16 | 42.1x | 164 | 55% |
| Supertrend period=14, mult=4.9 |
7.3% | -73.9% | 0.38 | 0.10 | 15.6x | 132 | 60% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=25, mult=1.2 |
5.7% | -65.9% | 0.34 | 0.09 | 8.8x | 266 | 55% |
| ADX / DI 방향성 period=36, threshold=31 |
0.8% | -12.2% | 0.21 | 0.06 | 1.4x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.5% | -85.8% | 0.20 | 0.02 | 1.8x | 351 | 57% |
| MACD fast=9, slow=59, signal=17 |
-0.3% | -95.7% | 0.15 | -0.00 | 0.9x | 565 | 51% |
| Buy and hold | 14.0% | -93.1% | 0.52 | 0.15 | 168.5x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 70 days