Trend-Following Backtester · Guide · backtest 한국어
equity · US
ServiceNow, Inc. backtest
10 trend-following strategies were compared on the full daily history of ServiceNow, 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 27.1%, drawdown -64.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.3%, MDD -53.8%, Sharpe 0.80, 83% 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=15, exitN=48 |
24.3% | -53.8% | 0.80 | 0.45 | 21.9x | 35 | 83% |
| EMA 크로스오버 fast=55, slow=216 |
19.9% | -46.0% | 0.72 | 0.43 | 13.1x | 10 | 75% |
| SMA 크로스오버 fast=24, slow=109 |
18.1% | -43.5% | 0.71 | 0.42 | 10.6x | 31 | 66% |
| ROC 모멘텀 n=133, threshold=-0.04 |
17.6% | -41.9% | 0.67 | 0.42 | 10.0x | 99 | 74% |
| Supertrend period=17, mult=4.7 |
14.2% | -42.3% | 0.62 | 0.34 | 6.5x | 45 | 63% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=1.3 |
6.7% | -49.8% | 0.38 | 0.13 | 2.5x | 113 | 52% |
| Parabolic SAR step=0.015, maxStep=0.02 |
7.1% | -60.9% | 0.38 | 0.12 | 2.6x | 97 | 64% |
| 볼린저 밴드 돌파 n=51, k=1.3 |
2.3% | -57.7% | 0.22 | 0.04 | 1.4x | 97 | 51% |
| MACD fast=17, slow=37, signal=11 |
1.1% | -62.8% | 0.18 | 0.02 | 1.2x | 217 | 49% |
| ADX / DI 방향성 period=37, threshold=12 |
1.5% | -50.7% | 0.18 | 0.03 | 1.2x | 108 | 40% |
| Buy and hold | 27.1% | -64.5% | 0.78 | 0.42 | 29.9x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 48 days