Trend-Following Backtester · Guide · backtest 한국어
equity · US
Duolingo, Inc. backtest
10 trend-following strategies were compared on the full daily history of Duolingo, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.7%, MDD -17.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.9%, drawdown -83.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.7%, MDD -17.8%, Sharpe 0.83, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 26.9%, MDD -38.8%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 65.5%p (CAGR 16.7%, MDD -17.8%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=17, mult=2.3 |
16.7% | -17.8% | 0.83 | 0.94 | 2.2x | 18 | 20% |
| SMA 크로스오버 fast=20, slow=171 |
26.9% | -38.8% | 0.77 | 0.69 | 3.4x | 7 | 50% |
| EMA 크로스오버 fast=29, slow=163 |
25.4% | -38.3% | 0.77 | 0.66 | 3.2x | 4 | 46% |
| Supertrend period=22, mult=2.4 |
24.1% | -46.9% | 0.70 | 0.51 | 3.0x | 45 | 51% |
| ADX / DI 방향성 period=11, threshold=8 |
20.7% | -51.9% | 0.64 | 0.40 | 2.6x | 107 | 51% |
| ROC 모멘텀 n=136, threshold=0.02 |
15.2% | -48.8% | 0.55 | 0.31 | 2.1x | 29 | 49% |
| Parabolic SAR step=0.02, maxStep=0.12 |
12.9% | -60.6% | 0.49 | 0.21 | 1.9x | 103 | 49% |
| Donchian 채널 돌파 entryN=66, exitN=73 |
4.7% | -60.6% | 0.32 | 0.08 | 1.3x | 9 | 53% |
| MACD fast=10, slow=24, signal=10 |
3.3% | -64.9% | 0.30 | 0.05 | 1.2x | 91 | 52% |
| 볼린저 밴드 돌파 n=43, k=1.8 |
0.5% | -44.8% | 0.18 | 0.01 | 1.0x | 27 | 33% |
| Buy and hold | 1.9% | -83.3% | 0.36 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 20-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average