Trend-Following Backtester · Guide · backtest 한국어
equity · US
Duolingo, Inc. backtest
10 trend-following strategies were compared on the full daily history of Duolingo, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.0%, MDD -17.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.0%, drawdown -83.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.0%, MDD -17.8%, Sharpe 0.84, 21% exposure.
CAGR reference leader: Supertrend — CAGR 26.4%, MDD -42.3%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 65.5%p (CAGR 17.0%, MDD -17.8%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=17, mult=2.3 |
17.0% | -17.8% | 0.84 | 0.96 | 2.2x | 18 | 21% |
| EMA 크로스오버 fast=29, slow=163 |
25.9% | -38.3% | 0.77 | 0.68 | 3.2x | 4 | 47% |
| Supertrend period=22, mult=2.4 |
26.4% | -42.3% | 0.75 | 0.62 | 3.2x | 43 | 51% |
| SMA 크로스오버 fast=20, slow=171 |
25.0% | -38.3% | 0.74 | 0.65 | 3.1x | 7 | 50% |
| ADX / DI 방향성 period=11, threshold=8 |
19.4% | -51.9% | 0.61 | 0.37 | 2.4x | 105 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
14.9% | -54.5% | 0.53 | 0.27 | 2.0x | 101 | 49% |
| ROC 모멘텀 n=136, threshold=0.02 |
14.2% | -48.8% | 0.53 | 0.29 | 1.9x | 28 | 49% |
| MACD fast=10, slow=24, signal=10 |
7.6% | -55.1% | 0.39 | 0.14 | 1.4x | 87 | 51% |
| Donchian 채널 돌파 entryN=66, exitN=73 |
2.8% | -60.6% | 0.27 | 0.05 | 1.1x | 9 | 53% |
| 볼린저 밴드 돌파 n=43, k=1.8 |
2.1% | -44.8% | 0.23 | 0.05 | 1.1x | 25 | 33% |
| Buy and hold | -0.0% | -83.3% | 0.33 | -0.00 | 1.0x | 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 20-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average