Trend-Following Backtester · Guide · backtest 한국어

equity · US

Laureate Education, Inc. backtest

10 trend-following strategies were compared on the full daily history of Laureate Education, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2017-02-01 ~ 2026-07-31daily bars 2,387 (9.5 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 11.8%, drawdown -64.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -56.9%, Sharpe 0.47, 91% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=9, exitN=78
10.4%-56.9%0.470.182.6x1791%
SMA 크로스오버
fast=38, slow=277
4.9%-68.2%0.320.071.6x565%
EMA 크로스오버
fast=40, slow=184
3.2%-69.7%0.270.051.4x1365%
Supertrend
period=25, mult=4.5
0.1%-64.7%0.160.001.0x3161%
ROC 모멘텀
n=132, threshold=-0.04
-1.1%-71.6%0.12-0.010.9x6971%
MACD
fast=16, slow=22, signal=12
-0.4%-58.3%0.11-0.011.0x15453%
Parabolic SAR
step=0.02, maxStep=0.32
-2.1%-62.0%0.04-0.030.8x20753%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=22, mult=1.9
-3.4%-61.5%-0.08-0.050.7x5241%
볼린저 밴드 돌파
n=56, k=1.5
-4.9%-65.5%-0.12-0.080.6x6346%
ADX / DI 방향성
period=32, threshold=11
-7.7%-76.7%-0.18-0.100.5x9744%
Buy and hold11.8%-64.5%0.480.182.9x1100%
1x 2018 2020 2022 2024 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -32% -48% -65% 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -56.9% (2021-10-05 → 2022-12-09), recovered after 1,406 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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