Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sprout Social, Inc backtest
10 trend-following strategies were compared on the full daily history of Sprout Social, Inc. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.4%, MDD -21.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.5%, drawdown -96.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.9%, MDD -56.5%, Sharpe 0.73, 31% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 28.4%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 4.4%, MDD -21.6%, exposure 4%).
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=101, exitN=38 |
22.9% | -56.5% | 0.73 | 0.40 | 4.0x | 7 | 31% |
| EMA 크로스오버 fast=32, slow=132 |
22.0% | -47.6% | 0.71 | 0.46 | 3.8x | 7 | 32% |
| SMA 크로스오버 fast=41, slow=108 |
20.7% | -63.6% | 0.65 | 0.33 | 3.5x | 15 | 43% |
| Supertrend period=17, mult=5 |
18.5% | -61.6% | 0.64 | 0.30 | 3.1x | 13 | 35% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=4 |
13.6% | -35.4% | 0.59 | 0.38 | 2.4x | 9 | 20% |
| ADX / DI 방향성 period=31, threshold=13 |
13.2% | -60.1% | 0.53 | 0.22 | 2.3x | 43 | 27% |
| ROC 모멘텀 n=137, threshold=0.08 |
13.3% | -62.5% | 0.52 | 0.21 | 2.3x | 37 | 33% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
4.4% | -21.6% | 0.39 | 0.21 | 1.3x | 4 | 4% |
| MACD fast=6, slow=38, signal=17 |
-7.1% | -88.5% | 0.06 | -0.08 | 0.6x | 115 | 51% |
| Parabolic SAR step=0.065, maxStep=0.22 |
-14.3% | -89.2% | -0.11 | -0.16 | 0.4x | 277 | 49% |
| Buy and hold | -5.5% | -96.5% | 0.27 | -0.06 | 0.7x | 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 101 days
- Sell — Sell when price breaks below the lowest low of the last 38 days