Trend-Following Backtester · Guide · backtest 한국어
equity · US
CrowdStrike Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of CrowdStrike Holdings, Inc.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 41.1%, MDD -31.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 43.4%, drawdown -67.7%).
Sharpe leader (same as main): MACD — CAGR 41.1%, MDD -31.2%, Sharpe 1.14, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 43.3%, MDD -39.4%, exposure 77%.
Return/drawdown alternative: MACD — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 36.5%p (CAGR 41.1%, MDD -31.2%, exposure 54%).
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=24, slow=54, signal=19 |
41.1% | -31.2% | 1.14 | 1.32 | 11.7x | 50 | 54% |
| ROC 모멘텀 n=111, threshold=0.06 |
41.5% | -35.9% | 1.13 | 1.16 | 11.9x | 35 | 57% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
36.8% | -31.9% | 1.12 | 1.15 | 9.4x | 37 | 51% |
| SMA 크로스오버 fast=6, slow=215 |
41.9% | -42.5% | 1.12 | 0.99 | 12.2x | 9 | 60% |
| EMA 크로스오버 fast=13, slow=22 |
40.8% | -48.9% | 1.10 | 0.83 | 11.5x | 47 | 61% |
| Supertrend period=10, mult=4.7 |
40.4% | -45.8% | 1.07 | 0.88 | 11.2x | 19 | 63% |
| Donchian 채널 돌파 entryN=11, exitN=33 |
43.3% | -39.4% | 1.03 | 1.10 | 13.0x | 27 | 77% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=1.2 |
32.0% | -37.4% | 1.01 | 0.85 | 7.2x | 47 | 53% |
| ADX / DI 방향성 period=12, threshold=14 |
20.3% | -67.5% | 0.69 | 0.30 | 3.7x | 159 | 55% |
| Parabolic SAR step=0.04, maxStep=0.14 |
15.2% | -70.5% | 0.56 | 0.21 | 2.7x | 198 | 56% |
| Buy and hold | 43.4% | -67.7% | 0.93 | 0.64 | 13.1x | 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 (24/54) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line