Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alphabet Inc. backtest
10 trend-following strategies were compared on the full daily history of Alphabet Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 25.3%, drawdown -65.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.4%, MDD -52.3%, Sharpe 0.84, 83% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=48 |
20.4% | -52.3% | 0.84 | 0.39 | 59.1x | 76 | 83% |
| Supertrend period=8, mult=4.1 |
16.3% | -48.1% | 0.82 | 0.34 | 27.4x | 104 | 58% |
| SMA 크로스오버 fast=56, slow=149 |
16.3% | -48.2% | 0.77 | 0.34 | 27.5x | 39 | 71% |
| EMA 크로스오버 fast=11, slow=144 |
16.0% | -41.2% | 0.77 | 0.39 | 26.1x | 53 | 74% |
| ROC 모멘텀 n=172, threshold=-0.04 |
15.6% | -42.5% | 0.72 | 0.37 | 24.2x | 101 | 79% |
| 볼린저 밴드 돌파 n=34, k=1.4 |
10.8% | -37.7% | 0.63 | 0.29 | 9.5x | 172 | 48% |
| Parabolic SAR step=0.01, maxStep=0.18 |
10.7% | -50.7% | 0.57 | 0.21 | 9.3x | 294 | 59% |
| ADX / DI 방향성 period=39, threshold=7 |
9.6% | -47.9% | 0.55 | 0.20 | 7.5x | 248 | 59% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=10, mult=1.5 |
8.8% | -36.1% | 0.52 | 0.24 | 6.4x | 172 | 55% |
| MACD fast=16, slow=26, signal=11 |
7.4% | -50.9% | 0.44 | 0.15 | 4.8x | 350 | 52% |
| Buy and hold | 25.3% | -65.3% | 0.89 | 0.39 | 142.0x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 48 days