Trend-Following Backtester · Guide · backtest 한국어
equity · US
Palo Alto Networks, Inc. backtest
10 trend-following strategies were compared on the full daily history of Palo Alto Networks, 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 30.5%, drawdown -48.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.0%, MDD -41.3%, Sharpe 0.72, 60% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.2%, MDD -53.9%, exposure 67%.
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=90, exitN=64 |
18.0% | -41.3% | 0.72 | 0.44 | 10.4x | 19 | 60% |
| SMA 크로스오버 fast=10, slow=174 |
18.2% | -53.9% | 0.69 | 0.34 | 10.6x | 31 | 67% |
| EMA 크로스오버 fast=16, slow=173 |
18.1% | -52.3% | 0.69 | 0.35 | 10.5x | 35 | 68% |
| ROC 모멘텀 n=111, threshold=0.02 |
14.5% | -56.8% | 0.61 | 0.26 | 6.8x | 133 | 62% |
| Supertrend period=9, mult=2.8 |
10.4% | -45.1% | 0.49 | 0.23 | 4.0x | 111 | 62% |
| MACD fast=16, slow=28, signal=18 |
9.0% | -40.9% | 0.46 | 0.22 | 3.4x | 188 | 51% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=10, mult=3.6 |
3.5% | -21.8% | 0.44 | 0.16 | 1.6x | 12 | 5% |
| ADX / DI 방향성 period=39, threshold=11 |
7.6% | -59.9% | 0.43 | 0.13 | 2.8x | 115 | 42% |
| 볼린저 밴드 돌파 n=50, k=3.3 |
4.1% | -20.2% | 0.42 | 0.20 | 1.8x | 12 | 8% |
| Parabolic SAR step=0.01, maxStep=0.32 |
6.4% | -56.6% | 0.37 | 0.11 | 2.4x | 192 | 57% |
| Buy and hold | 30.5% | -48.0% | 0.87 | 0.64 | 42.9x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 64 days