Trend-Following Backtester · Guide · backtest 한국어
equity · US
Salesforce, Inc. backtest
10 trend-following strategies were compared on the full daily history of Salesforce, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.2%, drawdown -70.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.7%, MDD -72.2%, Sharpe 0.64, 84% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=66 |
17.7% | -72.2% | 0.64 | 0.24 | 37.1x | 67 | 84% |
| SMA 크로스오버 fast=30, slow=99 |
14.2% | -42.6% | 0.60 | 0.33 | 19.2x | 53 | 61% |
| EMA 크로스오버 fast=88, slow=181 |
14.2% | -45.1% | 0.57 | 0.31 | 18.9x | 18 | 76% |
| Supertrend period=37, mult=4.9 |
10.8% | -58.8% | 0.51 | 0.18 | 9.7x | 79 | 57% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=17, mult=2.5 |
7.9% | -40.2% | 0.46 | 0.20 | 5.4x | 111 | 37% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
8.3% | -45.1% | 0.45 | 0.18 | 5.8x | 125 | 42% |
| ROC 모멘텀 n=119, threshold=-0.02 |
8.7% | -57.7% | 0.42 | 0.15 | 6.3x | 181 | 70% |
| ADX / DI 방향성 period=23, threshold=13 |
4.4% | -59.6% | 0.29 | 0.07 | 2.6x | 267 | 47% |
| Parabolic SAR step=0.015, maxStep=0.26 |
4.3% | -70.4% | 0.29 | 0.06 | 2.6x | 385 | 57% |
| MACD fast=24, slow=46, signal=11 |
3.1% | -70.2% | 0.25 | 0.04 | 2.0x | 283 | 51% |
| Buy and hold | 20.2% | -70.5% | 0.65 | 0.29 | 59.6x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 66 days