Trend-Following Backtester · Guide · backtest 한국어
equity · US
Progress Software Corporation backtest
10 trend-following strategies were compared on the full daily history of Progress Software Corporation. 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 7.8%, drawdown -67.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -68.9%, Sharpe 0.30, 75% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.6%, MDD -61.7%, exposure 58%.
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=23, exitN=64 |
4.5% | -68.9% | 0.30 | 0.07 | 4.7x | 87 | 75% |
| SMA 크로스오버 fast=50, slow=105 |
4.6% | -61.7% | 0.30 | 0.07 | 4.8x | 99 | 58% |
| MACD fast=48, slow=67, signal=64 |
3.1% | -68.6% | 0.25 | 0.04 | 2.9x | 153 | 52% |
| Supertrend period=16, mult=4 |
2.5% | -68.6% | 0.23 | 0.04 | 2.4x | 135 | 56% |
| EMA 크로스오버 fast=40, slow=101 |
2.3% | -71.8% | 0.22 | 0.03 | 2.2x | 75 | 59% |
| ADX / DI 방향성 period=31, threshold=39 |
0.2% | -10.6% | 0.09 | 0.02 | 1.1x | 4 | 1% |
| ROC 모멘텀 n=96, threshold=-0.01 |
-3.3% | -86.0% | 0.04 | -0.04 | 0.3x | 377 | 59% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=25, mult=3.8 |
-0.6% | -60.8% | 0.03 | -0.01 | 0.8x | 73 | 18% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.9% | -90.0% | 0.00 | -0.04 | 0.2x | 287 | 53% |
| 볼린저 밴드 돌파 n=27, k=2.6 |
-1.5% | -78.7% | -0.01 | -0.02 | 0.6x | 127 | 18% |
| Buy and hold | 7.8% | -67.3% | 0.39 | 0.12 | 14.0x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 64 days