Trend-Following Backtester · Guide · backtest 한국어
equity · US
Autodesk, Inc. backtest
10 trend-following strategies were compared on the full daily history of Autodesk, 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 16.1%, drawdown -76.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -64.6%, Sharpe 0.41, 76% 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=25, exitN=61 |
8.7% | -64.6% | 0.41 | 0.13 | 30.5x | 119 | 76% |
| ROC 모멘텀 n=97, threshold=-0.08 |
7.9% | -66.9% | 0.39 | 0.12 | 22.8x | 285 | 76% |
| SMA 크로스오버 fast=56, slow=80 |
7.6% | -60.3% | 0.38 | 0.13 | 20.0x | 152 | 61% |
| Supertrend period=22, mult=4.5 |
6.7% | -61.6% | 0.37 | 0.11 | 14.2x | 161 | 57% |
| EMA 크로스오버 fast=49, slow=138 |
5.7% | -81.8% | 0.33 | 0.07 | 9.8x | 70 | 68% |
| 볼린저 밴드 돌파 n=63, k=1.3 |
5.1% | -64.1% | 0.32 | 0.08 | 7.8x | 204 | 46% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.2% | -68.1% | 0.32 | 0.08 | 8.1x | 339 | 54% |
| MACD fast=28, slow=50, signal=19 |
4.7% | -76.2% | 0.30 | 0.06 | 6.7x | 385 | 53% |
| ADX / DI 방향성 period=36, threshold=12 |
3.1% | -68.9% | 0.25 | 0.05 | 3.6x | 337 | 39% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=1.3 |
2.6% | -69.5% | 0.23 | 0.04 | 2.9x | 309 | 50% |
| Buy and hold | 16.1% | -76.9% | 0.56 | 0.21 | 466.1x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 61 days