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 12.2%, MDD -59.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.1%, drawdown -95.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -59.6%, Sharpe 0.59, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.3%, MDD -60.8%, exposure 45%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 12.2%, MDD -59.6%, exposure 14%).
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=9 |
12.2% | -59.6% | 0.59 | 0.21 | 10.8x | 52 | 14% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=29, mult=2.9 |
12.0% | -71.2% | 0.52 | 0.17 | 10.3x | 54 | 23% |
| SMA 크로스오버 fast=54, slow=138 |
13.3% | -60.8% | 0.51 | 0.22 | 13.3x | 36 | 45% |
| 볼린저 밴드 돌파 n=32, k=2.4 |
10.0% | -72.2% | 0.47 | 0.14 | 7.2x | 92 | 24% |
| ROC 모멘텀 n=120, threshold=-0.04 |
10.4% | -64.5% | 0.44 | 0.16 | 7.8x | 158 | 53% |
| ADX / DI 방향성 period=26, threshold=13 |
9.1% | -66.5% | 0.42 | 0.14 | 6.0x | 204 | 38% |
| Parabolic SAR step=0.03, maxStep=0.08 |
8.9% | -76.7% | 0.41 | 0.12 | 5.8x | 370 | 47% |
| Supertrend period=15, mult=4.3 |
8.6% | -66.1% | 0.40 | 0.13 | 5.5x | 70 | 46% |
| EMA 크로스오버 fast=4, slow=28 |
8.0% | -73.9% | 0.39 | 0.11 | 4.9x | 250 | 47% |
| MACD fast=6, slow=44, signal=6 |
4.8% | -77.4% | 0.32 | 0.06 | 2.6x | 502 | 52% |
| Buy and hold | -5.1% | -95.1% | 0.19 | -0.05 | 0.3x | 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 9 days