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; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 46.5%, MDD -39.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 46.6%, drawdown -67.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 44.7%, MDD -35.9%, Sharpe 1.17, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 46.5%, MDD -39.4%, exposure 78%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 31.8%p (CAGR 46.5%, MDD -39.4%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=111, threshold=0.06 |
44.7% | -35.9% | 1.17 | 1.25 | 14.4x | 35 | 58% |
| SMA 크로스오버 fast=6, slow=215 |
45.1% | -42.5% | 1.16 | 1.06 | 14.7x | 9 | 60% |
| Supertrend period=10, mult=4.7 |
43.5% | -45.8% | 1.11 | 0.95 | 13.6x | 19 | 64% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
36.3% | -31.9% | 1.11 | 1.14 | 9.4x | 39 | 52% |
| MACD fast=24, slow=54, signal=19 |
38.2% | -31.2% | 1.08 | 1.23 | 10.4x | 52 | 53% |
| EMA 크로스오버 fast=13, slow=22 |
39.7% | -48.9% | 1.07 | 0.81 | 11.2x | 49 | 62% |
| Donchian 채널 돌파 entryN=11, exitN=33 |
46.5% | -39.4% | 1.07 | 1.18 | 15.8x | 27 | 78% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=1.2 |
31.6% | -37.4% | 0.99 | 0.84 | 7.2x | 49 | 53% |
| ADX / DI 방향성 period=12, threshold=14 |
21.0% | -67.5% | 0.70 | 0.31 | 4.0x | 161 | 55% |
| Parabolic SAR step=0.04, maxStep=0.14 |
15.7% | -70.5% | 0.57 | 0.22 | 2.9x | 201 | 56% |
| Buy and hold | 46.6% | -67.7% | 0.96 | 0.69 | 15.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 111-day return is greater than 6%
- Sell — Sell when the 111-day return drops to 6% or below