Trend-Following Backtester · Guide · backtest 한국어
equity · US
Perdoceo Education Corporation backtest
10 trend-following strategies were compared on the full daily history of Perdoceo Education Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -97.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -80.2%, Sharpe 0.46, 62% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=21, exitN=30 |
11.1% | -80.2% | 0.46 | 0.14 | 20.2x | 124 | 62% |
| SMA 크로스오버 fast=28, slow=41 |
8.1% | -79.6% | 0.39 | 0.10 | 9.4x | 186 | 55% |
| ROC 모멘텀 n=185, threshold=0.07 |
6.8% | -80.4% | 0.36 | 0.08 | 6.5x | 199 | 53% |
| Supertrend period=6, mult=2.9 |
5.8% | -84.3% | 0.34 | 0.07 | 5.0x | 197 | 55% |
| EMA 크로스오버 fast=55, slow=197 |
5.7% | -87.9% | 0.34 | 0.07 | 4.9x | 37 | 58% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=8, mult=1.5 |
5.0% | -78.4% | 0.31 | 0.06 | 4.0x | 252 | 26% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.7% | -82.2% | 0.28 | 0.05 | 2.9x | 475 | 52% |
| ADX / DI 방향성 period=25, threshold=39 |
1.6% | -18.8% | 0.27 | 0.09 | 1.6x | 6 | 2% |
| MACD fast=23, slow=49, signal=19 |
3.2% | -94.0% | 0.27 | 0.03 | 2.4x | 275 | 49% |
| 볼린저 밴드 돌파 n=40, k=2.5 |
2.6% | -64.2% | 0.22 | 0.04 | 2.1x | 114 | 27% |
| Buy and hold | 9.6% | -97.1% | 0.44 | 0.10 | 13.7x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 30 days