Trend-Following Backtester · Guide · backtest 한국어

equity · US

Progress Software Corporation backtest

10 trend-following strategies were compared on the full daily history of Progress Software Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1991-07-30 ~ 2026-07-31daily bars 8,814 (35.0 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.4%, drawdown -67.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -68.9%, Sharpe 0.29, 75% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 4.2%, MDD -61.7%, exposure 58%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=23, exitN=64
4.1%-68.9%0.290.064.1x8775%
SMA 크로스오버
fast=50, slow=105
4.2%-61.7%0.290.074.2x9958%
MACD
fast=48, slow=67, signal=64
2.7%-68.6%0.240.042.5x15352%
Supertrend
period=16, mult=4
2.1%-68.6%0.220.032.1x13556%
EMA 크로스오버
fast=40, slow=101
1.9%-71.8%0.210.031.9x7559%
ADX / DI 방향성
period=31, threshold=39
0.2%-10.6%0.090.021.1x41%
ROC 모멘텀
n=96, threshold=-0.01
-3.7%-86.0%0.02-0.040.3x37759%
Keltner 채널 돌파
emaPeriod=48, atrPeriod=25, mult=3.8
-1.0%-60.8%0.01-0.020.7x7318%
Parabolic SAR
step=0.005, maxStep=0.38
-4.3%-90.0%-0.01-0.050.2x28753%
볼린저 밴드 돌파
n=27, k=2.6
-1.8%-78.7%-0.03-0.020.5x12718%
Buy and hold7.4%-67.3%0.380.1112.3x1100%
1x 10x 1992 1997 2002 2007 2012 2017 2022 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -17% -34% -52% -69% 1992 1997 2002 2007 2012 2017 2022 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -68.9% (1999-12-28 → 2002-09-24), recovered after 4,053 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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