Trend-Following Backtester · Guide · backtest 한국어
equity · US
Workday, Inc. backtest
10 trend-following strategies were compared on the full daily history of Workday, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -63.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -55.6%, Sharpe 0.32, 57% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=169 |
5.2% | -55.6% | 0.32 | 0.09 | 2.0x | 21 | 57% |
| EMA 크로스오버 fast=15, slow=76 |
5.2% | -66.0% | 0.32 | 0.08 | 2.0x | 57 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=24 |
5.0% | -67.4% | 0.31 | 0.07 | 2.0x | 87 | 67% |
| Supertrend period=14, mult=3.9 |
4.7% | -59.9% | 0.30 | 0.08 | 1.9x | 65 | 53% |
| ROC 모멘텀 n=125, threshold=0.08 |
2.7% | -47.9% | 0.23 | 0.06 | 1.5x | 109 | 45% |
| ADX / DI 방향성 period=31, threshold=28 |
0.7% | -6.9% | 0.21 | 0.10 | 1.1x | 4 | 2% |
| MACD fast=18, slow=25, signal=20 |
0.9% | -74.3% | 0.17 | 0.01 | 1.1x | 171 | 49% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
0.6% | -9.1% | 0.15 | 0.06 | 1.1x | 10 | 3% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-2.5% | -74.5% | 0.06 | -0.03 | 0.7x | 296 | 53% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=29, mult=1.2 |
-3.9% | -68.8% | -0.07 | -0.06 | 0.6x | 165 | 38% |
| Buy and hold | 10.6% | -63.4% | 0.45 | 0.17 | 4.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 58-day average falls below the 169-day average