Trend-Following Backtester · Guide · backtest 한국어
equity · US
Okta, Inc. backtest
10 trend-following strategies were compared on the full daily history of Okta, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 26.7%, MDD -40.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.2%, drawdown -84.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.7%, MDD -40.2%, Sharpe 0.81, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 26.7%, MDD -40.2%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=136 |
26.7% | -40.2% | 0.81 | 0.66 | 9.1x | 19 | 57% |
| Donchian 채널 돌파 entryN=45, exitN=33 |
20.4% | -46.0% | 0.69 | 0.44 | 5.6x | 23 | 53% |
| EMA 크로스오버 fast=20, slow=203 |
21.7% | -58.0% | 0.69 | 0.37 | 6.2x | 11 | 57% |
| ROC 모멘텀 n=100, threshold=-0.03 |
20.4% | -56.3% | 0.66 | 0.36 | 5.6x | 73 | 61% |
| 볼린저 밴드 돌파 n=71, k=1.8 |
16.5% | -44.3% | 0.63 | 0.37 | 4.2x | 31 | 41% |
| Supertrend period=28, mult=3.8 |
12.3% | -71.4% | 0.50 | 0.17 | 2.9x | 47 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=0.9 |
11.3% | -71.0% | 0.48 | 0.16 | 2.7x | 81 | 50% |
| ADX / DI 방향성 period=31, threshold=7 |
10.7% | -62.1% | 0.46 | 0.17 | 2.6x | 121 | 55% |
| MACD fast=8, slow=50, signal=6 |
0.9% | -79.8% | 0.21 | 0.01 | 1.1x | 220 | 53% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-0.2% | -74.1% | 0.18 | -0.00 | 1.0x | 304 | 53% |
| Buy and hold | 21.2% | -84.6% | 0.63 | 0.25 | 6.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 45-day average falls below the 136-day average