Trend-Following Backtester · Guide · backtest 한국어
equity · US
Asana, Inc. backtest
10 trend-following strategies were compared on the full daily history of Asana, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.4%, MDD -37.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.1%, drawdown -96.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.4%, MDD -37.3%, Sharpe 0.70, 11% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 34.5%p higher than buy and hold, while drawdown improves by 58.9%p (CAGR 18.4%, MDD -37.3%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=95, exitN=13 |
18.4% | -37.3% | 0.70 | 0.49 | 2.7x | 7 | 11% |
| ADX / DI 방향성 period=20, threshold=20 |
17.6% | -43.1% | 0.62 | 0.41 | 2.6x | 21 | 21% |
| 볼린저 밴드 돌파 n=32, k=2.6 |
16.9% | -55.8% | 0.59 | 0.30 | 2.5x | 19 | 22% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=3.9 |
14.5% | -48.6% | 0.56 | 0.30 | 2.2x | 10 | 18% |
| SMA 크로스오버 fast=50, slow=76 |
16.7% | -55.0% | 0.56 | 0.30 | 2.5x | 21 | 37% |
| ROC 모멘텀 n=112, threshold=0.06 |
14.5% | -64.5% | 0.53 | 0.22 | 2.2x | 45 | 30% |
| Supertrend period=22, mult=1.7 |
11.6% | -68.0% | 0.46 | 0.17 | 1.9x | 83 | 46% |
| Parabolic SAR step=0.01, maxStep=0.36 |
4.0% | -81.8% | 0.34 | 0.05 | 1.3x | 77 | 46% |
| EMA 크로스오버 fast=26, slow=158 |
4.8% | -70.4% | 0.32 | 0.07 | 1.3x | 11 | 23% |
| MACD fast=15, slow=30, signal=7 |
-8.7% | -88.7% | 0.12 | -0.10 | 0.6x | 103 | 54% |
| Buy and hold | -16.1% | -96.2% | 0.15 | -0.17 | 0.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 95 days
- Sell — Sell when price breaks below the lowest low of the last 13 days