Trend-Following Backtester · Guide · backtest 한국어
equity · US
Salesforce, Inc. backtest
10 trend-following strategies were compared on the full daily history of Salesforce, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.2%, MDD -45.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -70.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.0%, MDD -72.2%, Sharpe 0.60, 84% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by -1.7%p (CAGR 14.2%, MDD -45.1%, exposure 76%).
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=12, exitN=66 |
16.0% | -72.2% | 0.60 | 0.22 | 26.5x | 67 | 84% |
| SMA 크로스오버 fast=30, slow=99 |
13.1% | -39.1% | 0.57 | 0.33 | 15.1x | 52 | 61% |
| EMA 크로스오버 fast=88, slow=181 |
14.2% | -45.1% | 0.57 | 0.32 | 18.9x | 18 | 76% |
| Supertrend period=37, mult=4.9 |
9.4% | -57.6% | 0.46 | 0.16 | 7.2x | 78 | 57% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=17, mult=2.5 |
6.7% | -40.2% | 0.41 | 0.17 | 4.2x | 110 | 37% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
6.9% | -45.1% | 0.40 | 0.15 | 4.3x | 124 | 42% |
| ROC 모멘텀 n=119, threshold=-0.02 |
7.3% | -57.7% | 0.38 | 0.13 | 4.7x | 180 | 70% |
| Parabolic SAR step=0.015, maxStep=0.26 |
3.8% | -70.4% | 0.27 | 0.05 | 2.3x | 383 | 57% |
| ADX / DI 방향성 period=23, threshold=13 |
3.4% | -59.6% | 0.26 | 0.06 | 2.1x | 266 | 47% |
| MACD fast=24, slow=46, signal=11 |
1.6% | -70.2% | 0.19 | 0.02 | 1.4x | 283 | 51% |
| Buy and hold | 18.5% | -70.5% | 0.62 | 0.26 | 42.6x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 66 days