Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cadence Design Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cadence Design Systems, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -57.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.0%, drawdown -93.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.0%, MDD -69.0%, Sharpe 0.59, 84% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 12.9%, MDD -57.1%, exposure 65%).
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=16, exitN=70 |
16.0% | -69.0% | 0.59 | 0.23 | 331.7x | 91 | 84% |
| SMA 크로스오버 fast=6, slow=117 |
12.9% | -57.1% | 0.55 | 0.23 | 113.5x | 140 | 65% |
| ROC 모멘텀 n=128, threshold=-0.09 |
12.3% | -73.4% | 0.51 | 0.17 | 92.3x | 215 | 79% |
| EMA 크로스오버 fast=14, slow=75 |
11.1% | -65.7% | 0.50 | 0.17 | 62.1x | 150 | 65% |
| 볼린저 밴드 돌파 n=94, k=0.9 |
10.0% | -62.6% | 0.49 | 0.16 | 42.1x | 164 | 56% |
| Supertrend period=14, mult=4.9 |
7.3% | -73.9% | 0.38 | 0.10 | 15.6x | 132 | 60% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=25, mult=1.2 |
5.7% | -65.9% | 0.34 | 0.09 | 8.8x | 266 | 56% |
| ADX / DI 방향성 period=36, threshold=31 |
0.8% | -12.2% | 0.21 | 0.06 | 1.4x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.6% | -85.8% | 0.21 | 0.02 | 1.9x | 350 | 57% |
| MACD fast=9, slow=59, signal=17 |
-0.3% | -95.7% | 0.15 | -0.00 | 0.9x | 564 | 51% |
| Buy and hold | 14.0% | -93.1% | 0.52 | 0.15 | 169.1x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 70 days