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. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.0%, MDD -46.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.7%, drawdown -64.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.0%, MDD -53.8%, Sharpe 0.75, 83% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 10.7%p (CAGR 20.0%, MDD -46.0%, exposure 76%).
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 |
22.0% | -53.8% | 0.75 | 0.41 | 16.4x | 35 | 83% |
| EMA 크로스오버 fast=55, slow=216 |
20.0% | -46.0% | 0.72 | 0.44 | 13.1x | 10 | 76% |
| SMA 크로스오버 fast=24, slow=109 |
15.9% | -43.5% | 0.65 | 0.36 | 8.0x | 31 | 66% |
| ROC 모멘텀 n=133, threshold=-0.04 |
16.6% | -41.8% | 0.64 | 0.40 | 8.7x | 98 | 74% |
| Supertrend period=17, mult=4.7 |
12.9% | -41.2% | 0.58 | 0.31 | 5.5x | 44 | 63% |
| Parabolic SAR step=0.015, maxStep=0.02 |
5.0% | -60.9% | 0.31 | 0.08 | 2.0x | 97 | 64% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=1.3 |
4.6% | -49.8% | 0.30 | 0.09 | 1.9x | 113 | 52% |
| ADX / DI 방향성 period=37, threshold=12 |
1.5% | -50.7% | 0.18 | 0.03 | 1.2x | 108 | 40% |
| 볼린저 밴드 돌파 n=51, k=1.3 |
0.8% | -57.7% | 0.15 | 0.01 | 1.1x | 96 | 51% |
| MACD fast=17, slow=37, signal=11 |
-0.9% | -62.8% | 0.11 | -0.01 | 0.9x | 217 | 49% |
| Buy and hold | 24.7% | -64.5% | 0.74 | 0.38 | 22.5x | 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