Trend-Following Backtester · Guide · backtest 한국어
equity · US
Perion Network Ltd backtest
10 trend-following strategies were compared on the full daily history of Perion Network Ltd. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.8%, MDD -46.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.7%, drawdown -95.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.8%, MDD -46.8%, Sharpe 0.65, 13% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 48.3%p (CAGR 13.8%, MDD -46.8%, exposure 13%).
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=99, exitN=8 |
13.8% | -46.8% | 0.65 | 0.29 | 14.0x | 48 | 13% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=14, mult=3.1 |
11.4% | -68.5% | 0.51 | 0.17 | 9.1x | 50 | 22% |
| SMA 크로스오버 fast=53, slow=138 |
11.9% | -68.2% | 0.48 | 0.17 | 10.0x | 36 | 46% |
| 볼린저 밴드 돌파 n=42, k=2.6 |
10.3% | -73.5% | 0.47 | 0.14 | 7.4x | 66 | 23% |
| ROC 모멘텀 n=140, threshold=-0.08 |
9.4% | -76.7% | 0.42 | 0.12 | 6.4x | 151 | 56% |
| ADX / DI 방향성 period=18, threshold=8 |
7.1% | -77.6% | 0.37 | 0.09 | 4.1x | 339 | 49% |
| Supertrend period=15, mult=4.1 |
6.1% | -71.1% | 0.34 | 0.09 | 3.4x | 77 | 47% |
| EMA 크로스오버 fast=45, slow=107 |
5.7% | -84.6% | 0.33 | 0.07 | 3.1x | 46 | 47% |
| Parabolic SAR step=0.015, maxStep=0.2 |
4.9% | -79.2% | 0.31 | 0.06 | 2.7x | 331 | 47% |
| MACD fast=9, slow=23, signal=9 |
4.0% | -85.9% | 0.30 | 0.05 | 2.2x | 405 | 52% |
| Buy and hold | -4.7% | -95.1% | 0.20 | -0.05 | 0.4x | 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 99 days
- Sell — Sell when price breaks below the lowest low of the last 8 days