Trend-Following Backtester · Guide · backtest 한국어
equity · US
Akamai Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Akamai Technologies, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.3%, MDD -46.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.1%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.0%, MDD -57.2%, Sharpe 0.59, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 10.3%, MDD -46.5%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=161 |
16.0% | -57.2% | 0.59 | 0.28 | 53.9x | 43 | 55% |
| Donchian 채널 돌파 entryN=82, exitN=119 |
15.4% | -63.8% | 0.56 | 0.24 | 47.1x | 29 | 59% |
| EMA 크로스오버 fast=56, slow=148 |
12.7% | -56.9% | 0.52 | 0.22 | 24.6x | 33 | 55% |
| ROC 모멘텀 n=105, threshold=0.05 |
12.7% | -52.1% | 0.51 | 0.24 | 24.9x | 206 | 48% |
| 볼린저 밴드 돌파 n=45, k=2.7 |
10.3% | -46.5% | 0.50 | 0.22 | 14.0x | 62 | 22% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=13, mult=3.1 |
7.7% | -50.8% | 0.39 | 0.15 | 7.3x | 86 | 31% |
| Supertrend period=21, mult=5 |
4.7% | -68.2% | 0.30 | 0.07 | 3.5x | 88 | 52% |
| ADX / DI 방향성 period=34, threshold=14 |
0.7% | -78.1% | 0.16 | 0.01 | 1.2x | 184 | 32% |
| MACD fast=14, slow=26, signal=10 |
-7.8% | -95.6% | 0.04 | -0.08 | 0.1x | 454 | 52% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-9.7% | -96.2% | -0.03 | -0.10 | 0.1x | 552 | 52% |
| Buy and hold | -1.1% | -99.8% | 0.29 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 32-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 32-day average falls below the 161-day average