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 9.0%, drawdown -63.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -55.6%, Sharpe 0.33, 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 |
5.4% | -55.6% | 0.33 | 0.10 | 2.1x | 20 | 57% |
| EMA 크로스오버 fast=15, slow=76 |
3.6% | -66.0% | 0.27 | 0.05 | 1.6x | 57 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=24 |
3.5% | -67.4% | 0.26 | 0.05 | 1.6x | 87 | 67% |
| Supertrend period=14, mult=3.9 |
3.1% | -59.9% | 0.25 | 0.05 | 1.5x | 65 | 53% |
| ADX / DI 방향성 period=31, threshold=28 |
0.7% | -6.9% | 0.21 | 0.10 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=125, threshold=0.08 |
2.1% | -47.9% | 0.21 | 0.04 | 1.3x | 108 | 45% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
0.6% | -9.1% | 0.15 | 0.06 | 1.1x | 10 | 3% |
| MACD fast=18, slow=25, signal=20 |
-0.6% | -74.3% | 0.12 | -0.01 | 0.9x | 171 | 49% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-3.8% | -74.5% | 0.00 | -0.05 | 0.6x | 295 | 53% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=29, mult=1.2 |
-5.3% | -68.8% | -0.15 | -0.08 | 0.5x | 165 | 37% |
| Buy and hold | 9.0% | -63.4% | 0.42 | 0.14 | 3.3x | 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