Trend-Following Backtester · Guide · backtest 한국어
equity · US
A10 Networks, Inc. backtest
10 trend-following strategies were compared on the full daily history of A10 Networks, Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like. The return/drawdown alternative is Supertrend (CAGR 7.3%, MDD -46.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -78.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -63.5%, Sharpe 0.40, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Supertrend — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 7.3%, MDD -46.4%, exposure 52%).
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 Hold-like · Exposure 96% entryN=1, exitN=53 |
8.0% | -63.5% | 0.40 | 0.13 | 2.6x | 49 | 96% |
| MACD fast=17, slow=36, signal=11 |
7.5% | -56.4% | 0.39 | 0.13 | 2.4x | 162 | 51% |
| Supertrend period=9, mult=3.4 |
7.3% | -46.4% | 0.38 | 0.16 | 2.4x | 64 | 52% |
| ROC 모멘텀 n=198, threshold=0.04 |
5.6% | -55.1% | 0.33 | 0.10 | 2.0x | 99 | 52% |
| EMA 크로스오버 fast=53, slow=243 |
4.4% | -63.7% | 0.29 | 0.07 | 1.7x | 15 | 56% |
| SMA 크로스오버 fast=59, slow=235 |
4.2% | -68.3% | 0.29 | 0.06 | 1.7x | 19 | 57% |
| ADX / DI 방향성 period=15, threshold=25 |
3.7% | -47.9% | 0.29 | 0.08 | 1.6x | 78 | 24% |
| 볼린저 밴드 돌파 n=45, k=2.2 |
3.3% | -63.4% | 0.26 | 0.05 | 1.5x | 50 | 29% |
| Parabolic SAR step=0.02, maxStep=0.38 |
1.7% | -63.8% | 0.21 | 0.03 | 1.2x | 240 | 48% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=10, mult=3.1 |
2.0% | -50.9% | 0.20 | 0.04 | 1.3x | 40 | 20% |
| Buy and hold | 4.9% | -78.4% | 0.34 | 0.06 | 1.8x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 53 days