Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cognizant Technology Solutions Corporation backtest
10 trend-following strategies were compared on the full daily history of Cognizant Technology Solutions Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.5%, drawdown -71.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.0%, MDD -63.9%, Sharpe 0.60, 62% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=82 |
16.0% | -63.9% | 0.60 | 0.25 | 66.0x | 106 | 62% |
| Donchian 채널 돌파 entryN=82, exitN=45 |
13.0% | -74.0% | 0.57 | 0.18 | 31.0x | 53 | 49% |
| 볼린저 밴드 돌파 n=42, k=2.9 |
8.2% | -32.5% | 0.51 | 0.25 | 9.3x | 50 | 18% |
| Supertrend period=12, mult=4.5 |
9.5% | -65.9% | 0.44 | 0.14 | 12.8x | 111 | 57% |
| EMA 크로스오버 fast=46, slow=65 |
9.2% | -71.5% | 0.43 | 0.13 | 12.1x | 77 | 62% |
| ROC 모멘텀 n=125, threshold=0.06 |
8.7% | -67.3% | 0.43 | 0.13 | 10.6x | 226 | 49% |
| ADX / DI 방향성 period=32, threshold=27 |
4.8% | -35.7% | 0.42 | 0.13 | 3.7x | 18 | 6% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=1.8 |
6.4% | -79.0% | 0.36 | 0.08 | 5.7x | 173 | 47% |
| MACD fast=18, slow=33, signal=19 |
3.2% | -70.9% | 0.25 | 0.04 | 2.4x | 353 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.1% | -88.9% | 0.15 | 0.00 | 1.0x | 251 | 58% |
| Buy and hold | 22.5% | -71.4% | 0.67 | 0.32 | 308.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 82-day average
- Sell — Sell (to cash) when the 59-day average falls below the 82-day average