Trend-Following Backtester · Guide · backtest 한국어
equity · US
Varonis Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Varonis Systems, 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 9.2%, MDD -36.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.1%, drawdown -78.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.1%, MDD -57.2%, Sharpe 0.72, 63% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 9.2%, MDD -36.9%, exposure 25%).
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=23, exitN=29 |
20.1% | -57.2% | 0.72 | 0.35 | 9.9x | 37 | 63% |
| Supertrend period=33, mult=4.5 |
19.1% | -50.2% | 0.70 | 0.38 | 8.9x | 33 | 57% |
| EMA 크로스오버 fast=24, slow=54 |
16.8% | -48.9% | 0.64 | 0.34 | 6.9x | 35 | 57% |
| SMA 크로스오버 fast=6, slow=77 |
16.6% | -50.0% | 0.64 | 0.33 | 6.9x | 49 | 57% |
| ADX / DI 방향성 period=32, threshold=14 |
13.8% | -51.3% | 0.63 | 0.27 | 5.0x | 59 | 34% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=2.4 |
12.8% | -49.2% | 0.58 | 0.26 | 4.5x | 43 | 42% |
| 볼린저 밴드 돌파 n=11, k=2.1 |
9.2% | -36.9% | 0.56 | 0.25 | 3.0x | 132 | 25% |
| ROC 모멘텀 n=146, threshold=-0.01 |
12.2% | -58.0% | 0.52 | 0.21 | 4.2x | 77 | 63% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.0% | -67.5% | 0.27 | 0.04 | 1.4x | 118 | 55% |
| MACD fast=12, slow=52, signal=17 |
-4.3% | -90.1% | 0.08 | -0.05 | 0.6x | 170 | 54% |
| Buy and hold | 9.1% | -78.2% | 0.44 | 0.12 | 3.0x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 29 days