Trend-Following Backtester · Guide · backtest 한국어
equity · US
DoorDash, Inc. backtest
10 trend-following strategies were compared on the full daily history of DoorDash, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.2%, MDD -21.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.5%, drawdown -82.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.5%, MDD -42.1%, Sharpe 0.89, 48% exposure.
CAGR reference leader: Supertrend — CAGR 26.0%, MDD -36.9%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.0%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 15.2%, MDD -21.5%, exposure 31%).
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=57, exitN=31 |
21.5% | -42.1% | 0.89 | 0.51 | 3.1x | 11 | 48% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=3.2 |
15.2% | -21.5% | 0.86 | 0.71 | 2.2x | 13 | 31% |
| SMA 크로스오버 fast=42, slow=148 |
23.8% | -41.3% | 0.86 | 0.58 | 3.4x | 7 | 53% |
| Supertrend period=8, mult=1.9 |
26.0% | -36.9% | 0.85 | 0.70 | 3.8x | 57 | 54% |
| 볼린저 밴드 돌파 n=72, k=1.6 |
18.2% | -33.9% | 0.83 | 0.54 | 2.6x | 17 | 42% |
| EMA 크로스오버 fast=29, slow=121 |
22.1% | -39.2% | 0.82 | 0.56 | 3.1x | 7 | 53% |
| ROC 모멘텀 n=126, threshold=0 |
18.8% | -39.1% | 0.73 | 0.48 | 2.7x | 27 | 55% |
| Parabolic SAR step=0.01, maxStep=0.26 |
13.7% | -63.1% | 0.54 | 0.22 | 2.1x | 81 | 54% |
| MACD fast=19, slow=38, signal=14 |
9.6% | -57.9% | 0.43 | 0.17 | 1.7x | 63 | 51% |
| ADX / DI 방향성 period=38, threshold=14 |
0.4% | -29.5% | 0.11 | 0.01 | 1.0x | 29 | 24% |
| Buy and hold | 3.5% | -82.5% | 0.34 | 0.04 | 1.2x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 31 days