Trend-Following Backtester · Guide · backtest 한국어
equity · US
SS&C Technologies Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of SS&C Technologies Holdings, Inc.. 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 15.3%, drawdown -49.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.9%, MDD -41.3%, Sharpe 0.63, 83% exposure.
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=14, exitN=60 |
12.9% | -41.3% | 0.63 | 0.31 | 7.3x | 43 | 83% |
| Supertrend period=25, mult=4.4 |
10.9% | -33.6% | 0.63 | 0.33 | 5.4x | 55 | 62% |
| SMA 크로스오버 fast=12, slow=64 |
10.0% | -34.7% | 0.57 | 0.29 | 4.7x | 73 | 61% |
| MACD fast=22, slow=67, signal=33 |
8.5% | -30.3% | 0.53 | 0.28 | 3.8x | 115 | 49% |
| EMA 크로스오버 fast=6, slow=117 |
8.5% | -42.4% | 0.51 | 0.20 | 3.8x | 61 | 67% |
| ROC 모멘텀 n=123, threshold=-0.09 |
9.2% | -50.4% | 0.49 | 0.18 | 4.2x | 73 | 80% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
2.9% | -16.3% | 0.40 | 0.18 | 1.6x | 17 | 11% |
| ADX / DI 방향성 period=27, threshold=32 |
1.1% | -5.5% | 0.39 | 0.20 | 1.2x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=2.5 |
3.9% | -34.2% | 0.32 | 0.11 | 1.9x | 71 | 40% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.4% | -39.4% | 0.32 | 0.11 | 2.0x | 143 | 58% |
| Buy and hold | 15.3% | -49.3% | 0.64 | 0.31 | 10.2x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 60 days