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 24.9%, drawdown -65.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.3%, 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 |
20.3% | -52.3% | 0.84 | 0.39 | 59.1x | 76 | 83% |
| Supertrend period=8, mult=4.1 |
15.6% | -48.1% | 0.80 | 0.32 | 24.5x | 105 | 58% |
| SMA 크로스오버 fast=56, slow=149 |
15.9% | -48.2% | 0.76 | 0.33 | 25.9x | 39 | 71% |
| EMA 크로스오버 fast=11, slow=144 |
15.6% | -41.2% | 0.76 | 0.38 | 24.6x | 53 | 74% |
| ROC 모멘텀 n=172, threshold=-0.04 |
15.2% | -42.5% | 0.71 | 0.36 | 22.8x | 101 | 79% |
| 볼린저 밴드 돌파 n=34, k=1.4 |
10.3% | -37.7% | 0.61 | 0.27 | 8.7x | 174 | 48% |
| Parabolic SAR step=0.01, maxStep=0.18 |
10.1% | -50.7% | 0.55 | 0.20 | 8.4x | 296 | 59% |
| ADX / DI 방향성 period=39, threshold=7 |
9.2% | -47.9% | 0.53 | 0.19 | 7.0x | 249 | 59% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=10, mult=1.5 |
8.3% | -36.1% | 0.50 | 0.23 | 5.8x | 174 | 55% |
| MACD fast=16, slow=26, signal=11 |
6.9% | -50.9% | 0.42 | 0.14 | 4.3x | 352 | 52% |
| Buy and hold | 24.9% | -65.3% | 0.88 | 0.38 | 133.6x | 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