Trend-Following Backtester · Guide · backtest 한국어
equity · US
Extreme Networks, Inc. backtest
10 trend-following strategies were compared on the full daily history of Extreme Networks, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -30.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.3%, drawdown -99.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -83.9%, Sharpe 0.44, 65% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 3.4%, MDD -30.6%, exposure 6%).
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=24, exitN=54 |
9.9% | -83.9% | 0.44 | 0.12 | 13.1x | 77 | 65% |
| SMA 크로스오버 fast=28, slow=76 |
9.2% | -88.0% | 0.42 | 0.10 | 11.0x | 93 | 51% |
| Supertrend period=8, mult=4.1 |
8.6% | -86.9% | 0.40 | 0.10 | 9.4x | 101 | 51% |
| EMA 크로스오버 fast=31, slow=75 |
8.3% | -82.9% | 0.40 | 0.10 | 8.9x | 79 | 49% |
| 볼린저 밴드 돌파 n=43, k=1.3 |
7.9% | -83.9% | 0.39 | 0.09 | 8.1x | 164 | 38% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=1.9 |
6.5% | -81.5% | 0.35 | 0.08 | 5.6x | 137 | 36% |
| ADX / DI 방향성 period=23, threshold=33 |
3.4% | -30.6% | 0.34 | 0.11 | 2.5x | 24 | 6% |
| MACD fast=16, slow=24, signal=17 |
2.3% | -80.1% | 0.28 | 0.03 | 1.9x | 378 | 53% |
| ROC 모멘텀 n=46, threshold=0.07 |
0.3% | -97.7% | 0.20 | 0.00 | 1.1x | 403 | 41% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.3% | -94.9% | 0.16 | -0.02 | 0.5x | 216 | 51% |
| Buy and hold | 0.3% | -99.1% | 0.35 | 0.00 | 1.1x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 54 days