Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dynatrace, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dynatrace, Inc.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.0%, MDD -34.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.2%, drawdown -61.8%).
Sharpe leader (same as main): Supertrend — CAGR 13.0%, MDD -34.3%, Sharpe 0.55, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 13.0%, MDD -34.3%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=3.8 |
13.0% | -34.3% | 0.55 | 0.38 | 2.4x | 29 | 51% |
| ADX / DI 방향성 period=11, threshold=34 |
5.9% | -16.0% | 0.55 | 0.37 | 1.5x | 24 | 10% |
| EMA 크로스오버 fast=46, slow=158 |
11.0% | -52.4% | 0.50 | 0.21 | 2.1x | 9 | 53% |
| SMA 크로스오버 fast=21, slow=186 |
10.3% | -39.6% | 0.49 | 0.26 | 2.0x | 13 | 51% |
| Donchian 채널 돌파 entryN=23, exitN=48 |
5.0% | -55.1% | 0.31 | 0.09 | 1.4x | 25 | 63% |
| ROC 모멘텀 n=102, threshold=0 |
3.4% | -47.4% | 0.27 | 0.07 | 1.3x | 59 | 55% |
| 볼린저 밴드 돌파 n=40, k=1.8 |
0.1% | -48.8% | 0.13 | 0.00 | 1.0x | 40 | 37% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=28, mult=2.4 |
-1.3% | -49.5% | 0.05 | -0.03 | 0.9x | 32 | 32% |
| MACD fast=19, slow=45, signal=18 |
-4.1% | -72.3% | 0.02 | -0.06 | 0.7x | 88 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.1% | -74.6% | -0.02 | -0.07 | 0.7x | 70 | 51% |
| Buy and hold | 9.2% | -61.8% | 0.42 | 0.15 | 1.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)