Trend-Following Backtester · Guide · backtest 한국어
equity · US
Domo, Inc. backtest
10 trend-following strategies were compared on the full daily history of Domo, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.0%, MDD -27.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.0%, drawdown -98.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.2%, MDD -35.6%, Sharpe 0.49, 17% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.2%, MDD -66.3%, exposure 38%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 32.2%p higher than buy and hold, while drawdown improves by 62.3%p (CAGR 7.0%, MDD -27.7%, exposure 12%).
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=36, atrPeriod=22, mult=3.5 |
10.2% | -35.6% | 0.49 | 0.29 | 2.2x | 18 | 17% |
| ROC 모멘텀 n=131, threshold=0.08 |
11.2% | -66.3% | 0.46 | 0.17 | 2.4x | 34 | 38% |
| EMA 크로스오버 fast=14, slow=114 |
8.5% | -76.6% | 0.41 | 0.11 | 1.9x | 18 | 39% |
| ADX / DI 방향성 period=31, threshold=24 |
7.0% | -27.7% | 0.40 | 0.25 | 1.7x | 12 | 12% |
| MACD fast=12, slow=48, signal=24 |
6.7% | -83.3% | 0.39 | 0.08 | 1.7x | 85 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
5.2% | -83.5% | 0.34 | 0.06 | 1.5x | 103 | 47% |
| 볼린저 밴드 돌파 n=37, k=1.3 |
5.5% | -75.6% | 0.33 | 0.07 | 1.5x | 60 | 35% |
| SMA 크로스오버 fast=7, slow=37 |
3.3% | -88.8% | 0.31 | 0.04 | 1.3x | 69 | 47% |
| Donchian 채널 돌파 entryN=18, exitN=67 |
-0.1% | -84.0% | 0.30 | -0.00 | 1.0x | 23 | 69% |
| Supertrend period=23, mult=2 |
2.8% | -85.9% | 0.29 | 0.03 | 1.2x | 99 | 40% |
| Buy and hold | -22.0% | -98.0% | 0.08 | -0.22 | 0.1x | 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 36-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 36-day average