Trend-Following Backtester · Guide · backtest 한국어
equity · US
JFrog Ltd. backtest
10 trend-following strategies were compared on the full daily history of JFrog Ltd.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.8%, MDD -29.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.5%, drawdown -80.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.0%, MDD -42.6%, Sharpe 0.56, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 7.8%, MDD -29.6%, exposure 30%).
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=25, exitN=11 |
14.0% | -42.6% | 0.56 | 0.33 | 2.2x | 30 | 39% |
| MACD fast=19, slow=50, signal=16 |
14.0% | -64.4% | 0.53 | 0.22 | 2.2x | 56 | 50% |
| EMA 크로스오버 fast=4, slow=187 |
12.5% | -39.2% | 0.51 | 0.32 | 2.0x | 17 | 40% |
| ROC 모멘텀 n=148, threshold=0.12 |
11.3% | -46.7% | 0.47 | 0.24 | 1.9x | 35 | 39% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=45, mult=2.6 |
9.6% | -41.1% | 0.47 | 0.23 | 1.7x | 22 | 25% |
| Supertrend period=18, mult=3.4 |
11.1% | -62.7% | 0.46 | 0.18 | 1.9x | 28 | 49% |
| 볼린저 밴드 돌파 n=35, k=2.1 |
7.8% | -29.6% | 0.40 | 0.27 | 1.6x | 30 | 30% |
| SMA 크로스오버 fast=14, slow=110 |
5.1% | -40.6% | 0.31 | 0.12 | 1.3x | 17 | 44% |
| ADX / DI 방향성 period=22, threshold=28 |
3.1% | -22.5% | 0.25 | 0.14 | 1.2x | 8 | 9% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.0% | -71.8% | 0.11 | -0.04 | 0.8x | 50 | 53% |
| Buy and hold | 3.5% | -80.4% | 0.35 | 0.04 | 1.2x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 11 days