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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.3%, MDD -21.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.5%, drawdown -82.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.1%, MDD -41.3%, Sharpe 0.79, 53% exposure.
CAGR reference leader: Supertrend — CAGR 22.7%, MDD -36.9%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.6%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 13.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=148 |
21.1% | -41.3% | 0.79 | 0.51 | 2.9x | 6 | 53% |
| Donchian 채널 돌파 entryN=57, exitN=31 |
18.3% | -42.1% | 0.79 | 0.44 | 2.6x | 11 | 47% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=3.2 |
13.3% | -21.5% | 0.78 | 0.62 | 2.0x | 12 | 31% |
| Supertrend period=8, mult=1.9 |
22.7% | -36.9% | 0.77 | 0.62 | 3.2x | 57 | 53% |
| EMA 크로스오버 fast=29, slow=121 |
18.9% | -39.2% | 0.73 | 0.48 | 2.7x | 7 | 53% |
| 볼린저 밴드 돌파 n=72, k=1.6 |
15.0% | -33.9% | 0.72 | 0.44 | 2.2x | 17 | 42% |
| ROC 모멘텀 n=126, threshold=0 |
16.8% | -39.1% | 0.67 | 0.43 | 2.4x | 26 | 54% |
| Parabolic SAR step=0.01, maxStep=0.26 |
10.6% | -63.1% | 0.46 | 0.17 | 1.8x | 81 | 53% |
| MACD fast=19, slow=38, signal=14 |
6.6% | -57.9% | 0.36 | 0.11 | 1.4x | 63 | 51% |
| ADX / DI 방향성 period=38, threshold=14 |
-0.2% | -29.5% | 0.08 | -0.01 | 1.0x | 28 | 24% |
| Buy and hold | 0.5% | -82.5% | 0.29 | 0.01 | 1.0x | 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 42-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 42-day average falls below the 148-day average