Trend-Following Backtester · Guide · backtest 한국어
equity · US
ExlService Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of ExlService Holdings, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.5%, MDD -42.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -80.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -42.5%, Sharpe 0.56, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 38.5%p (CAGR 11.5%, MDD -42.5%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=102, exitN=77 |
11.5% | -42.5% | 0.56 | 0.27 | 8.6x | 19 | 58% |
| SMA 크로스오버 fast=43, slow=214 |
8.2% | -47.3% | 0.43 | 0.17 | 4.7x | 24 | 66% |
| ROC 모멘텀 n=127, threshold=-0.03 |
6.0% | -57.1% | 0.35 | 0.10 | 3.2x | 160 | 68% |
| EMA 크로스오버 fast=27, slow=173 |
5.4% | -51.1% | 0.33 | 0.10 | 2.8x | 38 | 67% |
| Supertrend period=16, mult=4.9 |
4.4% | -64.0% | 0.30 | 0.07 | 2.4x | 55 | 57% |
| ADX / DI 방향성 period=35, threshold=21 |
1.2% | -31.7% | 0.18 | 0.04 | 1.3x | 32 | 9% |
| MACD fast=16, slow=41, signal=18 |
0.5% | -57.2% | 0.15 | 0.01 | 1.1x | 229 | 51% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=15, mult=3 |
-1.7% | -48.2% | -0.01 | -0.04 | 0.7x | 67 | 35% |
| 볼린저 밴드 돌파 n=45, k=1.8 |
-2.8% | -68.8% | -0.04 | -0.04 | 0.6x | 115 | 39% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-5.9% | -84.7% | -0.09 | -0.07 | 0.3x | 579 | 57% |
| Buy and hold | 11.7% | -80.9% | 0.48 | 0.14 | 9.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 102 days
- Sell — Sell when price breaks below the lowest low of the last 77 days