Trend-Following Backtester · Guide · backtest 한국어
equity · US
Laureate Education, Inc. backtest
10 trend-following strategies were compared on the full daily history of Laureate Education, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -64.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -56.9%, Sharpe 0.46, 91% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=9, exitN=78 |
10.1% | -56.9% | 0.46 | 0.18 | 2.5x | 17 | 91% |
| SMA 크로스오버 fast=38, slow=277 |
4.7% | -68.2% | 0.31 | 0.07 | 1.5x | 5 | 65% |
| EMA 크로스오버 fast=40, slow=184 |
3.0% | -69.7% | 0.26 | 0.04 | 1.3x | 13 | 65% |
| Supertrend period=25, mult=4.5 |
-0.1% | -64.7% | 0.16 | -0.00 | 1.0x | 31 | 62% |
| ROC 모멘텀 n=132, threshold=-0.04 |
-1.3% | -71.6% | 0.12 | -0.02 | 0.9x | 69 | 71% |
| MACD fast=16, slow=22, signal=12 |
-0.7% | -58.3% | 0.09 | -0.01 | 0.9x | 155 | 53% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-2.6% | -62.0% | 0.02 | -0.04 | 0.8x | 208 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=1.9 |
-3.4% | -61.5% | -0.08 | -0.05 | 0.7x | 52 | 41% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
-5.1% | -65.5% | -0.12 | -0.08 | 0.6x | 63 | 47% |
| ADX / DI 방향성 period=32, threshold=11 |
-7.9% | -76.7% | -0.19 | -0.10 | 0.5x | 97 | 45% |
| Buy and hold | 11.4% | -64.5% | 0.48 | 0.18 | 2.8x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 78 days