Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sprinklr, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sprinklr, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.1%, MDD -9.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.7%, drawdown -79.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.1%, MDD -9.0%, Sharpe 0.31, 5% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 2.4%, MDD -16.6%, exposure 10%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 70.9%p (CAGR 2.1%, MDD -9.0%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=2.5 |
2.1% | -9.0% | 0.31 | 0.24 | 1.1x | 7 | 5% |
| ADX / DI 방향성 period=36, threshold=15 |
2.4% | -16.6% | 0.26 | 0.15 | 1.1x | 9 | 10% |
| EMA 크로스오버 fast=50, slow=173 |
2.3% | -37.7% | 0.23 | 0.06 | 1.1x | 5 | 17% |
| Donchian 채널 돌파 entryN=107, exitN=65 |
2.1% | -35.4% | 0.22 | 0.06 | 1.1x | 3 | 15% |
| ROC 모멘텀 n=48, threshold=0.08 |
-0.6% | -49.1% | 0.13 | -0.01 | 1.0x | 67 | 25% |
| SMA 크로스오버 fast=45, slow=208 |
-1.2% | -44.4% | 0.09 | -0.03 | 0.9x | 7 | 22% |
| Supertrend period=11, mult=4.8 |
-5.8% | -56.8% | -0.02 | -0.10 | 0.7x | 13 | 37% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
-0.3% | -15.5% | -0.02 | -0.02 | 1.0x | 4 | 4% |
| MACD fast=5, slow=44, signal=6 |
-9.9% | -65.8% | -0.09 | -0.15 | 0.6x | 129 | 54% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-11.5% | -69.2% | -0.14 | -0.17 | 0.5x | 101 | 49% |
| Buy and hold | -13.7% | -79.8% | -0.03 | -0.17 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average