Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marvell Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Marvell Technology, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.9%, MDD -56.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.8%, drawdown -91.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.6%, MDD -64.3%, Sharpe 0.58, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 14.9%, MDD -56.5%, 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=49, exitN=96 |
16.6% | -64.3% | 0.58 | 0.26 | 55.5x | 33 | 69% |
| EMA 크로스오버 fast=52, slow=166 |
14.9% | -56.5% | 0.57 | 0.26 | 37.5x | 27 | 58% |
| SMA 크로스오버 fast=13, slow=102 |
13.4% | -63.1% | 0.52 | 0.21 | 26.8x | 89 | 58% |
| ROC 모멘텀 n=140, threshold=0.06 |
10.0% | -60.2% | 0.44 | 0.17 | 12.2x | 167 | 55% |
| Supertrend period=22, mult=4.7 |
9.2% | -73.6% | 0.42 | 0.12 | 10.0x | 90 | 56% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
6.6% | -47.6% | 0.40 | 0.14 | 5.4x | 56 | 19% |
| MACD fast=10, slow=57, signal=17 |
6.6% | -70.0% | 0.36 | 0.09 | 5.3x | 365 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.3% | -86.8% | 0.35 | 0.07 | 5.0x | 355 | 51% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=2.4 |
6.0% | -58.1% | 0.34 | 0.10 | 4.6x | 124 | 34% |
| ADX / DI 방향성 period=38, threshold=11 |
5.0% | -57.1% | 0.31 | 0.09 | 3.6x | 189 | 41% |
| Buy and hold | 10.8% | -91.6% | 0.46 | 0.12 | 14.8x | 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 49 days
- Sell — Sell when price breaks below the lowest low of the last 96 days