Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Trade Desk, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Trade Desk, Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.1%, MDD -44.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 16.4%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.1%, MDD -56.9%, Sharpe 0.64, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 33.8%p (CAGR 20.1%, MDD -44.8%, exposure 48%).
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=27, exitN=28 |
22.1% | -56.9% | 0.64 | 0.39 | 7.3x | 36 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=1.2 |
20.1% | -44.8% | 0.64 | 0.45 | 6.2x | 64 | 48% |
| SMA 크로스오버 fast=29, slow=72 |
19.2% | -60.7% | 0.62 | 0.32 | 5.8x | 28 | 56% |
| EMA 크로스오버 fast=59, slow=148 |
19.5% | -60.5% | 0.60 | 0.32 | 5.9x | 16 | 62% |
| ROC 모멘텀 n=64, threshold=0.05 |
19.2% | -57.1% | 0.60 | 0.34 | 5.7x | 74 | 55% |
| Supertrend period=36, mult=4.9 |
18.4% | -59.0% | 0.59 | 0.31 | 5.4x | 32 | 54% |
| 볼린저 밴드 돌파 n=40, k=1.3 |
16.1% | -42.9% | 0.56 | 0.37 | 4.4x | 66 | 44% |
| ADX / DI 방향성 period=24, threshold=12 |
12.1% | -64.6% | 0.47 | 0.19 | 3.1x | 132 | 50% |
| MACD fast=10, slow=22, signal=6 |
9.0% | -86.7% | 0.41 | 0.10 | 2.4x | 237 | 50% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-1.7% | -86.5% | 0.22 | -0.02 | 0.8x | 258 | 53% |
| Buy and hold | 16.4% | -90.7% | 0.56 | 0.18 | 4.5x | 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 27 days
- Sell — Sell when price breaks below the lowest low of the last 28 days