Trend-Following Backtester · Guide · backtest 한국어
equity · US
Seagate Technology Holdings PLC backtest
10 trend-following strategies were compared on the full daily history of Seagate Technology Holdings PLC. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.1%, MDD -41.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 19.7%, drawdown -89.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 25.7%, MDD -43.3%, Sharpe 0.91, 48% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 25.9%, MDD -43.5%, exposure 59%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 21.1%, MDD -41.3%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=94, k=1.2 |
25.7% | -43.3% | 0.91 | 0.59 | 225.4x | 64 | 48% |
| EMA 크로스오버 fast=20, slow=78 |
25.9% | -43.5% | 0.87 | 0.60 | 237.7x | 73 | 59% |
| Donchian 채널 돌파 entryN=45, exitN=39 |
24.9% | -47.1% | 0.85 | 0.53 | 196.2x | 59 | 54% |
| ROC 모멘텀 n=62, threshold=0.03 |
23.5% | -53.6% | 0.83 | 0.44 | 148.4x | 216 | 52% |
| Supertrend period=22, mult=4.2 |
23.4% | -58.5% | 0.82 | 0.40 | 145.9x | 96 | 51% |
| SMA 크로스오버 fast=11, slow=123 |
23.1% | -48.3% | 0.81 | 0.48 | 139.5x | 67 | 58% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=15, mult=1.6 |
21.1% | -41.3% | 0.80 | 0.51 | 93.7x | 134 | 45% |
| ADX / DI 방향성 period=34, threshold=12 |
21.4% | -51.8% | 0.79 | 0.41 | 99.2x | 194 | 44% |
| Parabolic SAR step=0.01, maxStep=0.12 |
12.0% | -76.2% | 0.51 | 0.16 | 14.8x | 324 | 52% |
| MACD fast=9, slow=54, signal=13 |
11.9% | -74.6% | 0.50 | 0.16 | 14.4x | 368 | 50% |
| Buy and hold | 19.7% | -89.8% | 0.62 | 0.22 | 71.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 94-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 94-day middle average