Trend-Following Backtester · Guide · backtest 한국어
equity · US
Netflix, Inc. backtest
10 trend-following strategies were compared on the full daily history of Netflix, Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 38.0%, MDD -42.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 30.8%, drawdown -82.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 38.0%, MDD -42.5%, Sharpe 1.04, 60% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 39.6%, MDD -53.9%, exposure 68%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 38.0%, MDD -42.5%, exposure 60%).
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=115, exitN=65 |
38.0% | -42.5% | 1.04 | 0.89 | 2481.1x | 24 | 60% |
| SMA 크로스오버 fast=21, slow=134 |
39.6% | -53.9% | 1.04 | 0.73 | 3309.7x | 44 | 68% |
| ROC 모멘텀 n=127, threshold=0.02 |
37.4% | -52.2% | 1.00 | 0.72 | 2226.6x | 162 | 67% |
| EMA 크로스오버 fast=36, slow=104 |
36.1% | -60.1% | 0.97 | 0.60 | 1787.4x | 34 | 68% |
| Supertrend period=18, mult=4.2 |
27.8% | -58.5% | 0.83 | 0.48 | 389.0x | 99 | 59% |
| ADX / DI 방향성 period=38, threshold=8 |
27.7% | -60.9% | 0.82 | 0.45 | 377.3x | 225 | 65% |
| 볼린저 밴드 돌파 n=77, k=1.8 |
23.8% | -42.4% | 0.80 | 0.56 | 177.9x | 78 | 49% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=3.3 |
15.0% | -47.9% | 0.63 | 0.31 | 29.7x | 98 | 35% |
| MACD fast=27, slow=56, signal=19 |
12.5% | -72.3% | 0.50 | 0.17 | 17.6x | 221 | 53% |
| Parabolic SAR step=0.02, maxStep=0.18 |
12.0% | -60.2% | 0.49 | 0.20 | 15.5x | 503 | 53% |
| Buy and hold | 30.8% | -82.0% | 0.77 | 0.38 | 674.1x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 65 days