Trend-Following Backtester · Guide · backtest 한국어
equity · US
Palo Alto Networks, Inc. backtest
10 trend-following strategies were compared on the full daily history of Palo Alto Networks, 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 29.4%, drawdown -48.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.0%, MDD -41.3%, Sharpe 0.69, 60% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.1%, MDD -53.9%, exposure 67%.
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=90, exitN=64 |
17.0% | -41.3% | 0.69 | 0.41 | 9.0x | 19 | 60% |
| SMA 크로스오버 fast=10, slow=174 |
17.1% | -53.9% | 0.67 | 0.32 | 9.2x | 31 | 67% |
| EMA 크로스오버 fast=16, slow=173 |
17.1% | -52.3% | 0.66 | 0.33 | 9.1x | 35 | 68% |
| ROC 모멘텀 n=111, threshold=0.02 |
13.4% | -56.8% | 0.58 | 0.24 | 5.9x | 133 | 62% |
| MACD fast=16, slow=28, signal=18 |
9.6% | -40.9% | 0.49 | 0.24 | 3.6x | 186 | 51% |
| Supertrend period=9, mult=2.8 |
10.1% | -45.1% | 0.48 | 0.22 | 3.9x | 109 | 62% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=10, mult=3.6 |
3.6% | -21.8% | 0.44 | 0.16 | 1.6x | 12 | 5% |
| 볼린저 밴드 돌파 n=50, k=3.3 |
4.0% | -20.2% | 0.42 | 0.20 | 1.7x | 11 | 8% |
| ADX / DI 방향성 period=39, threshold=11 |
6.5% | -59.9% | 0.39 | 0.11 | 2.4x | 115 | 42% |
| Parabolic SAR step=0.01, maxStep=0.32 |
6.7% | -56.6% | 0.38 | 0.12 | 2.5x | 190 | 57% |
| Buy and hold | 29.4% | -48.0% | 0.86 | 0.61 | 37.3x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 64 days