Trend-Following Backtester · Guide · backtest 한국어
equity · US
Datadog, Inc. backtest
10 trend-following strategies were compared on the full daily history of Datadog, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.8%, MDD -38.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 30.3%, drawdown -68.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 24.9%, MDD -42.2%, Sharpe 0.80, 38% exposure.
CAGR reference leader: Supertrend — CAGR 26.7%, MDD -42.5%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.3%p lower than buy and hold, while drawdown improves by 25.9%p (CAGR 25.8%, MDD -38.4%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=13, mult=2 |
24.9% | -42.2% | 0.80 | 0.59 | 4.7x | 28 | 38% |
| SMA 크로스오버 fast=7, slow=135 |
25.8% | -38.4% | 0.77 | 0.67 | 4.9x | 19 | 52% |
| Supertrend period=11, mult=4.8 |
26.7% | -42.5% | 0.77 | 0.63 | 5.2x | 22 | 54% |
| EMA 크로스오버 fast=7, slow=140 |
25.6% | -50.4% | 0.76 | 0.51 | 4.9x | 19 | 56% |
| 볼린저 밴드 돌파 n=14, k=2.1 |
19.6% | -44.0% | 0.73 | 0.45 | 3.5x | 68 | 30% |
| ROC 모멘텀 n=80, threshold=0.12 |
19.5% | -43.5% | 0.66 | 0.45 | 3.5x | 47 | 43% |
| ADX / DI 방향성 period=19, threshold=15 |
16.7% | -34.0% | 0.63 | 0.49 | 2.9x | 86 | 37% |
| Donchian 채널 돌파 entryN=44, exitN=12 |
17.0% | -36.8% | 0.63 | 0.46 | 3.0x | 32 | 34% |
| Parabolic SAR step=0.035, maxStep=0.32 |
16.2% | -67.8% | 0.56 | 0.24 | 2.8x | 212 | 53% |
| MACD fast=15, slow=17, signal=10 |
12.7% | -64.8% | 0.49 | 0.20 | 2.3x | 124 | 50% |
| Buy and hold | 30.3% | -68.1% | 0.74 | 0.44 | 6.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 51-day average + 2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 51-day average