Trend-Following Backtester · Guide · backtest 한국어
equity · US
DocuSign, Inc. backtest
10 trend-following strategies were compared on the full daily history of DocuSign, Inc.. 7 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 15.6%, MDD -25.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.3%, drawdown -87.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.8%, MDD -27.7%, Sharpe 0.88, 17% exposure.
CAGR reference leader: Supertrend — CAGR 20.8%, MDD -60.4%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 59.8%p (CAGR 15.6%, MDD -25.0%, exposure 21%).
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=135, exitN=12 |
17.8% | -27.7% | 0.88 | 0.64 | 3.9x | 9 | 17% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
18.3% | -36.4% | 0.77 | 0.50 | 4.1x | 21 | 27% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=3.8 |
15.6% | -25.0% | 0.75 | 0.62 | 3.4x | 13 | 21% |
| Supertrend period=5, mult=4.6 |
20.8% | -60.4% | 0.70 | 0.34 | 4.8x | 25 | 51% |
| SMA 크로스오버 fast=55, slow=102 |
17.8% | -53.8% | 0.65 | 0.33 | 3.9x | 19 | 45% |
| ROC 모멘텀 n=58, threshold=0.04 |
12.7% | -59.5% | 0.52 | 0.21 | 2.7x | 97 | 43% |
| ADX / DI 방향성 period=10, threshold=36 |
6.2% | -25.9% | 0.47 | 0.24 | 1.6x | 38 | 12% |
| EMA 크로스오버 fast=47, slow=125 |
9.1% | -57.6% | 0.42 | 0.16 | 2.1x | 17 | 48% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-9.2% | -87.7% | -0.04 | -0.10 | 0.4x | 191 | 53% |
| MACD fast=15, slow=44, signal=14 |
-11.5% | -91.7% | -0.12 | -0.12 | 0.4x | 109 | 53% |
| Buy and hold | 6.3% | -87.6% | 0.40 | 0.07 | 1.7x | 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 135 days
- Sell — Sell when price breaks below the lowest low of the last 12 days