Trend-Following Backtester · Guide · backtest 한국어
equity · US
Atlassian Corporation backtest
10 trend-following strategies were compared on the full daily history of Atlassian Corporation. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.7%, MDD -35.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.9%, drawdown -87.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.9%, MDD -43.1%, Sharpe 0.79, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 44.5%p (CAGR 20.7%, MDD -35.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=213 |
23.9% | -43.1% | 0.79 | 0.56 | 9.8x | 8 | 60% |
| Donchian 채널 돌파 entryN=83, exitN=64 |
20.7% | -35.2% | 0.75 | 0.59 | 7.4x | 12 | 55% |
| SMA 크로스오버 fast=38, slow=52 |
21.8% | -45.7% | 0.73 | 0.48 | 8.1x | 58 | 56% |
| ROC 모멘텀 n=139, threshold=-0.04 |
21.6% | -48.1% | 0.72 | 0.45 | 8.0x | 48 | 66% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=4 |
3.4% | -8.5% | 0.59 | 0.40 | 1.4x | 6 | 3% |
| Supertrend period=37, mult=4.5 |
13.9% | -55.8% | 0.55 | 0.25 | 4.0x | 36 | 55% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
9.7% | -40.4% | 0.45 | 0.24 | 2.7x | 61 | 44% |
| MACD fast=16, slow=29, signal=19 |
9.6% | -58.1% | 0.43 | 0.17 | 2.7x | 139 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
5.8% | -60.1% | 0.33 | 0.10 | 1.8x | 143 | 54% |
| ADX / DI 방향성 period=17, threshold=29 |
1.9% | -25.0% | 0.21 | 0.08 | 1.2x | 24 | 13% |
| Buy and hold | 15.9% | -87.5% | 0.54 | 0.18 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 213-day EMA
- Sell — Sell when the 31-day EMA falls below the 213-day EMA