Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cognex Corporation backtest
10 trend-following strategies were compared on the full daily history of Cognex Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.9%, MDD -63.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -85.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.0%, MDD -83.5%, Sharpe 0.54, 81% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 1.7%p (CAGR 12.9%, MDD -63.5%, exposure 60%).
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=79 |
15.0% | -83.5% | 0.54 | 0.18 | 174.2x | 91 | 81% |
| SMA 크로스오버 fast=66, slow=196 |
13.8% | -71.2% | 0.53 | 0.19 | 118.9x | 47 | 60% |
| EMA 크로스오버 fast=41, slow=47 |
12.9% | -63.5% | 0.52 | 0.20 | 89.6x | 101 | 60% |
| Supertrend period=32, mult=5 |
10.5% | -88.6% | 0.47 | 0.12 | 40.4x | 115 | 54% |
| ROC 모멘텀 n=149, threshold=-0.06 |
8.0% | -93.3% | 0.39 | 0.09 | 17.2x | 203 | 67% |
| ADX / DI 방향성 period=37, threshold=11 |
6.7% | -83.2% | 0.36 | 0.08 | 10.9x | 298 | 47% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=13, mult=1.9 |
4.2% | -85.9% | 0.29 | 0.05 | 4.6x | 198 | 48% |
| Parabolic SAR step=0.01, maxStep=0.32 |
3.1% | -89.9% | 0.26 | 0.03 | 3.1x | 488 | 53% |
| 볼린저 밴드 돌파 n=52, k=1.6 |
3.1% | -79.5% | 0.25 | 0.04 | 3.1x | 202 | 42% |
| MACD fast=21, slow=30, signal=16 |
0.5% | -97.3% | 0.19 | 0.00 | 1.2x | 456 | 52% |
| Buy and hold | 15.2% | -85.2% | 0.53 | 0.18 | 186.7x | 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 79 days