Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cognyte Software Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cognyte Software Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.7%, MDD -24.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.3%, drawdown -92.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.7%, MDD -24.1%, Sharpe 0.45, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.0%p higher than buy and hold, while drawdown improves by 68.6%p (CAGR 6.7%, MDD -24.1%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=3.1 |
6.7% | -24.1% | 0.45 | 0.28 | 1.4x | 8 | 15% |
| SMA 크로스오버 fast=115, slow=133 |
6.3% | -34.0% | 0.35 | 0.18 | 1.4x | 15 | 40% |
| ROC 모멘텀 n=142, threshold=0.03 |
5.3% | -40.4% | 0.32 | 0.13 | 1.3x | 38 | 41% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=22, mult=3.2 |
3.9% | -39.7% | 0.28 | 0.10 | 1.2x | 12 | 21% |
| Supertrend period=19, mult=5 |
3.5% | -46.1% | 0.27 | 0.08 | 1.2x | 14 | 42% |
| ADX / DI 방향성 period=20, threshold=17 |
1.8% | -38.6% | 0.21 | 0.05 | 1.1x | 42 | 32% |
| Donchian 채널 돌파 entryN=104, exitN=10 |
1.5% | -33.5% | 0.18 | 0.04 | 1.1x | 12 | 15% |
| EMA 크로스오버 fast=31, slow=127 |
-4.2% | -52.2% | 0.05 | -0.08 | 0.8x | 12 | 44% |
| MACD fast=11, slow=13, signal=11 |
-14.9% | -72.2% | -0.19 | -0.21 | 0.4x | 109 | 50% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-14.3% | -62.3% | -0.22 | -0.23 | 0.4x | 115 | 47% |
| Buy and hold | -19.3% | -92.7% | -0.09 | -0.21 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 42-day middle average