Trend-Following Backtester · Guide · backtest 한국어
equity · US
Workiva Inc. backtest
10 trend-following strategies were compared on the full daily history of Workiva Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.2%, MDD -31.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.4%, drawdown -72.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.7%, MDD -35.3%, Sharpe 0.86, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 21.2%, MDD -31.4%, exposure 58%).
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=39, exitN=43 |
23.7% | -35.3% | 0.86 | 0.67 | 11.9x | 23 | 59% |
| EMA 크로스오버 fast=20, slow=106 |
21.2% | -31.4% | 0.80 | 0.68 | 9.4x | 24 | 58% |
| SMA 크로스오버 fast=11, slow=143 |
21.0% | -32.5% | 0.79 | 0.65 | 9.2x | 24 | 58% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
7.9% | -22.0% | 0.73 | 0.36 | 2.4x | 16 | 11% |
| Supertrend period=29, mult=5 |
18.2% | -37.6% | 0.71 | 0.48 | 7.0x | 29 | 57% |
| MACD fast=23, slow=70, signal=30 |
17.4% | -55.6% | 0.70 | 0.31 | 6.5x | 73 | 52% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=3.5 |
9.2% | -27.2% | 0.63 | 0.34 | 2.8x | 24 | 20% |
| ROC 모멘텀 n=72, threshold=0.01 |
12.2% | -43.4% | 0.53 | 0.28 | 3.8x | 103 | 58% |
| ADX / DI 방향성 period=24, threshold=9 |
8.1% | -47.0% | 0.42 | 0.17 | 2.5x | 163 | 54% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.2% | -66.1% | 0.14 | -0.00 | 1.0x | 107 | 57% |
| Buy and hold | 13.4% | -72.5% | 0.51 | 0.19 | 4.3x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 43 days