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. 9 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 4.5%, MDD -21.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.5%, drawdown -96.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.1%, MDD -56.5%, Sharpe 0.64, 30% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 27.6%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 4.5%, 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 |
18.1% | -56.5% | 0.64 | 0.32 | 3.0x | 7 | 30% |
| EMA 크로스오버 fast=32, slow=132 |
17.4% | -44.8% | 0.62 | 0.39 | 2.9x | 6 | 31% |
| SMA 크로스오버 fast=41, slow=108 |
16.0% | -63.6% | 0.56 | 0.25 | 2.7x | 15 | 42% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=4 |
12.2% | -34.8% | 0.55 | 0.35 | 2.2x | 8 | 19% |
| Supertrend period=17, mult=5 |
13.8% | -61.6% | 0.54 | 0.22 | 2.4x | 13 | 34% |
| ADX / DI 방향성 period=31, threshold=13 |
11.1% | -58.4% | 0.48 | 0.19 | 2.0x | 42 | 27% |
| ROC 모멘텀 n=137, threshold=0.08 |
11.2% | -61.0% | 0.47 | 0.18 | 2.0x | 34 | 32% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
4.5% | -21.6% | 0.39 | 0.21 | 1.3x | 4 | 4% |
| MACD fast=6, slow=38, signal=17 |
-7.8% | -88.5% | 0.05 | -0.09 | 0.6x | 113 | 50% |
| Parabolic SAR step=0.065, maxStep=0.22 |
-14.0% | -89.2% | -0.10 | -0.16 | 0.4x | 273 | 49% |
| Buy and hold | -9.5% | -96.5% | 0.21 | -0.10 | 0.5x | 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