Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Alphabet Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Alphabet Inc. Class A. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 19.0%, MDD -33.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.7%, drawdown -59.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.7%, MDD -39.1%, Sharpe 0.88, 86% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 19.0%, MDD -33.8%, exposure 82%).
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=88, exitN=160 |
22.7% | -39.1% | 0.88 | 0.58 | 46.5x | 5 | 86% |
| EMA 크로스오버 fast=95, slow=217 |
19.0% | -33.8% | 0.82 | 0.56 | 25.9x | 7 | 82% |
| ROC 모멘텀 n=119, threshold=-0.08 |
18.0% | -36.1% | 0.74 | 0.50 | 22.5x | 77 | 83% |
| SMA 크로스오버 fast=56, slow=190 |
15.4% | -33.8% | 0.72 | 0.46 | 14.6x | 19 | 73% |
| 볼린저 밴드 돌파 n=44, k=1.4 |
9.2% | -34.3% | 0.56 | 0.27 | 5.3x | 112 | 47% |
| Supertrend period=36, mult=4.6 |
9.3% | -46.8% | 0.53 | 0.20 | 5.3x | 80 | 58% |
| MACD fast=21, slow=59, signal=17 |
9.4% | -39.7% | 0.50 | 0.24 | 5.4x | 177 | 53% |
| Parabolic SAR step=0.01, maxStep=0.26 |
8.0% | -39.6% | 0.46 | 0.20 | 4.3x | 229 | 56% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=3.6 |
6.0% | -31.8% | 0.44 | 0.19 | 3.0x | 62 | 39% |
| ADX / DI 방향성 period=39, threshold=23 |
2.4% | -15.9% | 0.37 | 0.15 | 1.6x | 12 | 6% |
| Buy and hold | 18.7% | -59.8% | 0.69 | 0.31 | 25.0x | 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 88 days
- Sell — Sell when price breaks below the lowest low of the last 160 days