Trend-Following Backtester · Guide · backtest 한국어
equity · US
Asana, Inc. backtest
10 trend-following strategies were compared on the full daily history of Asana, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.0%, MDD -37.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.3%, drawdown -96.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.0%, MDD -37.3%, Sharpe 0.69, 11% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 37.3%p higher than buy and hold, while drawdown improves by 58.9%p (CAGR 18.0%, MDD -37.3%, exposure 11%).
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=95, exitN=13 |
18.0% | -37.3% | 0.69 | 0.48 | 2.6x | 6 | 11% |
| ADX / DI 방향성 period=20, threshold=20 |
17.8% | -43.1% | 0.63 | 0.41 | 2.6x | 20 | 21% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=3.9 |
14.7% | -48.6% | 0.57 | 0.30 | 2.2x | 10 | 18% |
| 볼린저 밴드 돌파 n=32, k=2.6 |
13.1% | -55.8% | 0.51 | 0.23 | 2.0x | 19 | 21% |
| SMA 크로스오버 fast=50, slow=76 |
12.9% | -55.0% | 0.49 | 0.23 | 2.0x | 21 | 37% |
| ROC 모멘텀 n=112, threshold=0.06 |
10.8% | -64.5% | 0.45 | 0.17 | 1.8x | 44 | 29% |
| Supertrend period=22, mult=1.7 |
7.8% | -68.0% | 0.40 | 0.12 | 1.6x | 83 | 45% |
| EMA 크로스오버 fast=26, slow=158 |
3.6% | -70.1% | 0.29 | 0.05 | 1.2x | 10 | 22% |
| Parabolic SAR step=0.01, maxStep=0.36 |
0.4% | -81.8% | 0.27 | 0.00 | 1.0x | 77 | 46% |
| MACD fast=15, slow=30, signal=7 |
-10.7% | -88.7% | 0.08 | -0.12 | 0.5x | 101 | 53% |
| Buy and hold | -19.3% | -96.2% | 0.10 | -0.20 | 0.3x | 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 95 days
- Sell — Sell when price breaks below the lowest low of the last 13 days