Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ciena Corporation backtest
10 trend-following strategies were compared on the full daily history of Ciena Corporation. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.6%, MDD -77.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.7%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -78.9%, Sharpe 0.49, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 9.6%, MDD -77.7%, exposure 56%).
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=33, exitN=63 |
12.5% | -78.9% | 0.49 | 0.16 | 32.5x | 68 | 69% |
| SMA 크로스오버 fast=13, slow=49 |
11.3% | -81.8% | 0.46 | 0.14 | 23.9x | 170 | 55% |
| EMA 크로스오버 fast=27, slow=49 |
9.6% | -77.7% | 0.43 | 0.12 | 14.9x | 106 | 56% |
| ROC 모멘텀 n=39, threshold=-0.1 |
9.4% | -87.1% | 0.43 | 0.11 | 14.2x | 338 | 74% |
| MACD fast=18, slow=46, signal=24 |
5.9% | -92.1% | 0.35 | 0.06 | 5.4x | 295 | 53% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
6.0% | -84.6% | 0.34 | 0.07 | 5.5x | 216 | 43% |
| Supertrend period=28, mult=4.9 |
4.6% | -93.5% | 0.32 | 0.05 | 3.8x | 108 | 51% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=2.3 |
3.1% | -88.4% | 0.26 | 0.04 | 2.5x | 162 | 34% |
| ADX / DI 방향성 period=22, threshold=11 |
1.8% | -95.6% | 0.25 | 0.02 | 1.7x | 442 | 50% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-1.8% | -97.4% | 0.18 | -0.02 | 0.6x | 710 | 51% |
| Buy and hold | 3.7% | -99.5% | 0.39 | 0.04 | 2.9x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 63 days