Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arista Networks, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arista Networks, 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 39.1%, drawdown -52.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.8%, MDD -41.8%, Sharpe 0.93, 68% 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=59, slow=116 |
30.8% | -41.8% | 0.93 | 0.74 | 26.7x | 23 | 68% |
| Donchian 채널 돌파 entryN=82, exitN=87 |
24.8% | -46.6% | 0.79 | 0.53 | 15.0x | 13 | 70% |
| ROC 모멘텀 n=128, threshold=0.06 |
19.8% | -52.0% | 0.71 | 0.38 | 9.1x | 87 | 62% |
| EMA 크로스오버 fast=37, slow=147 |
20.3% | -54.0% | 0.69 | 0.38 | 9.6x | 19 | 70% |
| Supertrend period=24, mult=3.4 |
10.7% | -65.1% | 0.48 | 0.16 | 3.5x | 81 | 59% |
| Parabolic SAR step=0.04, maxStep=0.3 |
7.5% | -57.0% | 0.39 | 0.13 | 2.4x | 389 | 57% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
2.4% | -19.4% | 0.37 | 0.12 | 1.3x | 8 | 6% |
| ADX / DI 방향성 period=20, threshold=26 |
3.5% | -24.4% | 0.32 | 0.14 | 1.5x | 40 | 14% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=18, mult=1.9 |
4.6% | -49.7% | 0.30 | 0.09 | 1.7x | 100 | 41% |
| MACD fast=7, slow=24, signal=8 |
3.2% | -53.3% | 0.26 | 0.06 | 1.5x | 306 | 51% |
| Buy and hold | 39.1% | -52.2% | 0.95 | 0.75 | 56.6x | 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 59-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 59-day average falls below the 116-day average