Trend-Following Backtester · Guide · backtest 한국어
equity · US
Atlassian Corporation backtest
10 trend-following strategies were compared on the full daily history of Atlassian Corporation. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 23.5%, MDD -35.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 23.0%, drawdown -87.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.7%, MDD -43.1%, Sharpe 0.83, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 44.5%p (CAGR 23.5%, MDD -35.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=213 |
25.7% | -43.1% | 0.83 | 0.60 | 11.7x | 9 | 60% |
| Donchian 채널 돌파 entryN=83, exitN=64 |
23.5% | -35.2% | 0.82 | 0.67 | 9.6x | 13 | 55% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=4 |
5.9% | -8.5% | 0.79 | 0.69 | 1.8x | 7 | 4% |
| ROC 모멘텀 n=139, threshold=-0.04 |
24.4% | -48.1% | 0.78 | 0.51 | 10.4x | 49 | 66% |
| SMA 크로스오버 fast=38, slow=52 |
23.3% | -45.7% | 0.76 | 0.51 | 9.5x | 59 | 56% |
| Supertrend period=37, mult=4.5 |
19.9% | -55.8% | 0.68 | 0.36 | 7.0x | 37 | 55% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
16.5% | -40.4% | 0.62 | 0.41 | 5.1x | 61 | 45% |
| MACD fast=16, slow=29, signal=19 |
16.4% | -58.1% | 0.59 | 0.28 | 5.1x | 139 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
12.4% | -60.1% | 0.49 | 0.21 | 3.5x | 143 | 54% |
| ADX / DI 방향성 period=17, threshold=29 |
4.0% | -25.0% | 0.36 | 0.16 | 1.5x | 25 | 14% |
| Buy and hold | 23.0% | -87.5% | 0.65 | 0.26 | 9.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 213-day EMA
- Sell — Sell when the 31-day EMA falls below the 213-day EMA