Trend-Following Backtester · Guide · backtest 한국어
equity · US
Commvault Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Commvault Systems, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -68.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.0%, MDD -45.5%, Sharpe 0.41, 56% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=44, slow=193 |
8.0% | -45.5% | 0.41 | 0.18 | 4.6x | 23 | 56% |
| SMA 크로스오버 fast=31, slow=210 |
7.5% | -54.3% | 0.39 | 0.14 | 4.2x | 29 | 55% |
| Donchian 채널 돌파 entryN=110, exitN=61 |
6.9% | -41.9% | 0.39 | 0.16 | 3.8x | 25 | 43% |
| 볼린저 밴드 돌파 n=62, k=2.6 |
4.5% | -37.9% | 0.34 | 0.12 | 2.4x | 48 | 26% |
| ADX / DI 방향성 period=35, threshold=16 |
4.4% | -34.6% | 0.33 | 0.13 | 2.4x | 87 | 26% |
| ROC 모멘텀 n=148, threshold=0.03 |
3.8% | -52.9% | 0.27 | 0.07 | 2.1x | 149 | 53% |
| Supertrend period=26, mult=4.5 |
3.6% | -54.7% | 0.27 | 0.07 | 2.0x | 71 | 55% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=30, mult=3.9 |
2.1% | -31.9% | 0.21 | 0.07 | 1.5x | 44 | 20% |
| MACD fast=17, slow=55, signal=19 |
-6.1% | -84.8% | -0.08 | -0.07 | 0.3x | 218 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-6.4% | -87.9% | -0.08 | -0.07 | 0.3x | 179 | 55% |
| Buy and hold | 11.0% | -68.9% | 0.46 | 0.16 | 8.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 193-day EMA
- Sell — Sell when the 44-day EMA falls below the 193-day EMA