Trend-Following Backtester · Guide · backtest 한국어
equity · US
Newegg Commerce, Inc. backtest
10 trend-following strategies were compared on the full daily history of Newegg Commerce, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -26.6%, drawdown -99.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.9%, MDD -81.0%, Sharpe 0.52, 9% 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=75, exitN=6 |
20.9% | -81.0% | 0.52 | 0.26 | 22.0x | 28 | 9% |
| SMA 크로스오버 fast=50, slow=170 |
13.3% | -82.5% | 0.49 | 0.16 | 7.7x | 20 | 28% |
| EMA 크로스오버 fast=52, slow=203 |
8.7% | -85.1% | 0.43 | 0.10 | 3.9x | 10 | 23% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=20, mult=3 |
10.2% | -82.3% | 0.40 | 0.12 | 4.9x | 36 | 8% |
| 볼린저 밴드 돌파 n=19, k=2.8 |
3.0% | -89.9% | 0.36 | 0.03 | 1.6x | 88 | 15% |
| ROC 모멘텀 n=109, threshold=0.11 |
-5.1% | -95.8% | 0.31 | -0.05 | 0.4x | 150 | 26% |
| MACD fast=13, slow=39, signal=17 |
-13.7% | -98.8% | 0.31 | -0.14 | 0.1x | 217 | 53% |
| ADX / DI 방향성 period=15, threshold=22 |
-10.7% | -98.6% | 0.29 | -0.11 | 0.2x | 154 | 36% |
| Supertrend period=27, mult=4.4 |
-10.1% | -97.2% | 0.26 | -0.10 | 0.2x | 54 | 36% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-21.1% | -99.2% | 0.15 | -0.21 | 0.0x | 266 | 40% |
| Buy and hold | -26.6% | -99.8% | 0.31 | -0.27 | 0.0x | 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 75 days
- Sell — Sell when price breaks below the lowest low of the last 6 days