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 16.2%, MDD -34.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.3%, drawdown -61.8%).
Sharpe leader (same as main): Supertrend — CAGR 16.2%, MDD -34.3%, Sharpe 0.64, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 16.2%, 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 |
16.2% | -34.3% | 0.64 | 0.47 | 2.9x | 29 | 51% |
| EMA 크로스오버 fast=46, slow=158 |
14.2% | -52.4% | 0.59 | 0.27 | 2.6x | 9 | 54% |
| SMA 크로스오버 fast=21, slow=186 |
13.5% | -39.6% | 0.58 | 0.34 | 2.4x | 13 | 52% |
| ADX / DI 방향성 period=11, threshold=34 |
5.8% | -16.0% | 0.54 | 0.36 | 1.5x | 24 | 10% |
| Donchian 채널 돌파 entryN=23, exitN=48 |
8.0% | -55.1% | 0.40 | 0.15 | 1.7x | 25 | 63% |
| ROC 모멘텀 n=102, threshold=0 |
6.4% | -47.4% | 0.35 | 0.14 | 1.6x | 59 | 55% |
| 볼린저 밴드 돌파 n=40, k=1.8 |
1.1% | -49.6% | 0.17 | 0.02 | 1.1x | 41 | 37% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=28, mult=2.4 |
-0.4% | -49.5% | 0.10 | -0.01 | 1.0x | 33 | 33% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.7% | -74.6% | 0.07 | -0.04 | 0.8x | 71 | 51% |
| MACD fast=19, slow=45, signal=18 |
-3.2% | -72.3% | 0.05 | -0.04 | 0.8x | 89 | 53% |
| Buy and hold | 12.3% | -61.8% | 0.48 | 0.20 | 2.3x | 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)