Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arista Networks, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arista Networks, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 38.5%, drawdown -52.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.2%, MDD -41.8%, Sharpe 0.92, 68% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=116 |
30.2% | -41.8% | 0.92 | 0.72 | 24.6x | 23 | 68% |
| Donchian 채널 돌파 entryN=82, exitN=87 |
24.1% | -46.6% | 0.78 | 0.52 | 13.8x | 13 | 69% |
| ROC 모멘텀 n=128, threshold=0.06 |
19.1% | -52.0% | 0.69 | 0.37 | 8.4x | 87 | 62% |
| EMA 크로스오버 fast=37, slow=147 |
19.6% | -54.0% | 0.68 | 0.36 | 8.8x | 19 | 70% |
| Supertrend period=24, mult=3.4 |
10.0% | -65.1% | 0.46 | 0.15 | 3.2x | 81 | 59% |
| Parabolic SAR step=0.04, maxStep=0.3 |
7.4% | -57.0% | 0.38 | 0.13 | 2.4x | 386 | 57% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
2.4% | -19.4% | 0.37 | 0.12 | 1.3x | 8 | 6% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=18, mult=1.9 |
5.3% | -45.5% | 0.33 | 0.12 | 1.9x | 98 | 41% |
| ADX / DI 방향성 period=20, threshold=26 |
3.5% | -24.4% | 0.32 | 0.14 | 1.5x | 40 | 14% |
| MACD fast=7, slow=24, signal=8 |
3.2% | -53.3% | 0.26 | 0.06 | 1.5x | 302 | 51% |
| Buy and hold | 38.5% | -52.2% | 0.94 | 0.74 | 52.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 59-day average falls below the 116-day average