Trend-Following Backtester · Guide · backtest 한국어
equity · US
Okta, Inc. backtest
10 trend-following strategies were compared on the full daily history of Okta, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 29.1%, MDD -40.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 23.6%, drawdown -84.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.1%, MDD -40.2%, Sharpe 0.85, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 29.1%, MDD -40.2%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=136 |
29.1% | -40.2% | 0.85 | 0.72 | 11.0x | 19 | 57% |
| Donchian 채널 돌파 entryN=45, exitN=33 |
22.8% | -46.0% | 0.73 | 0.49 | 6.9x | 23 | 53% |
| EMA 크로스오버 fast=20, slow=203 |
24.1% | -58.0% | 0.73 | 0.41 | 7.6x | 11 | 57% |
| ROC 모멘텀 n=100, threshold=-0.03 |
22.7% | -56.3% | 0.70 | 0.40 | 6.9x | 73 | 62% |
| 볼린저 밴드 돌파 n=71, k=1.8 |
18.8% | -44.3% | 0.67 | 0.43 | 5.1x | 31 | 41% |
| Supertrend period=28, mult=3.8 |
14.6% | -71.4% | 0.55 | 0.20 | 3.6x | 47 | 54% |
| ADX / DI 방향성 period=31, threshold=7 |
13.0% | -62.1% | 0.51 | 0.21 | 3.1x | 121 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=0.9 |
10.1% | -71.0% | 0.45 | 0.14 | 2.5x | 83 | 51% |
| MACD fast=8, slow=50, signal=6 |
0.3% | -79.8% | 0.20 | 0.00 | 1.0x | 225 | 52% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-0.2% | -74.1% | 0.18 | -0.00 | 1.0x | 307 | 53% |
| Buy and hold | 23.6% | -84.6% | 0.66 | 0.28 | 7.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 45-day average falls below the 136-day average