Trend-Following Backtester · Guide · backtest 한국어
equity · US
Synopsys, Inc. backtest
10 trend-following strategies were compared on the full daily history of Synopsys, 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 12.0%, drawdown -60.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.8%, MDD -66.6%, Sharpe 0.34, 89% 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=13, exitN=79 |
5.8% | -66.6% | 0.34 | 0.09 | 7.0x | 79 | 89% |
| SMA 크로스오버 fast=52, slow=218 |
4.7% | -77.6% | 0.30 | 0.06 | 4.8x | 56 | 68% |
| EMA 크로스오버 fast=59, slow=161 |
4.2% | -76.1% | 0.29 | 0.06 | 4.1x | 48 | 70% |
| ROC 모멘텀 n=134, threshold=-0.06 |
3.5% | -74.4% | 0.27 | 0.05 | 3.3x | 226 | 77% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.3% | -7.1% | 0.14 | 0.04 | 1.1x | 8 | 1% |
| Supertrend period=15, mult=4.7 |
-0.5% | -82.7% | 0.13 | -0.01 | 0.9x | 118 | 61% |
| ADX / DI 방향성 period=19, threshold=39 |
0.3% | -10.2% | 0.13 | 0.03 | 1.1x | 10 | 1% |
| MACD fast=10, slow=66, signal=18 |
-0.1% | -80.8% | 0.12 | -0.00 | 1.0x | 456 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.3% | -81.3% | 0.01 | -0.04 | 0.3x | 330 | 58% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=2.7 |
-2.4% | -70.4% | -0.01 | -0.03 | 0.4x | 154 | 37% |
| Buy and hold | 12.0% | -60.9% | 0.48 | 0.20 | 49.1x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 79 days