Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dell Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of Dell Technologies Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 32.0%, MDD -35.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 42.3%, drawdown -60.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 30.8%, MDD -33.6%, Sharpe 0.99, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 32.9%, MDD -45.3%, exposure 71%.
Return/drawdown alternative: Supertrend — CAGR is 11.5%p lower than buy and hold, while drawdown improves by 26.4%p (CAGR 32.0%, MDD -35.8%, exposure 64%).
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=57, atrPeriod=24, mult=2.5 |
30.8% | -33.6% | 0.99 | 0.92 | 14.5x | 35 | 52% |
| Supertrend period=8, mult=4.6 |
32.0% | -35.8% | 0.98 | 0.90 | 15.9x | 33 | 64% |
| Donchian 채널 돌파 entryN=31, exitN=67 |
32.9% | -45.3% | 0.97 | 0.73 | 16.9x | 21 | 71% |
| 볼린저 밴드 돌파 n=60, k=1.3 |
30.3% | -39.0% | 0.96 | 0.78 | 13.9x | 41 | 55% |
| SMA 크로스오버 fast=22, slow=216 |
32.2% | -51.0% | 0.96 | 0.63 | 16.1x | 17 | 62% |
| ROC 모멘텀 n=52, threshold=0 |
30.7% | -36.9% | 0.94 | 0.83 | 14.3x | 95 | 64% |
| EMA 크로스오버 fast=59, slow=99 |
30.7% | -51.0% | 0.93 | 0.60 | 14.4x | 15 | 64% |
| ADX / DI 방향성 period=23, threshold=16 |
21.9% | -52.5% | 0.79 | 0.42 | 7.2x | 72 | 47% |
| MACD fast=21, slow=52, signal=16 |
23.0% | -48.1% | 0.79 | 0.48 | 7.8x | 100 | 53% |
| Parabolic SAR step=0.025, maxStep=0.1 |
17.7% | -46.7% | 0.66 | 0.38 | 5.0x | 200 | 59% |
| Buy and hold | 42.3% | -60.0% | 1.01 | 0.70 | 33.4x | 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 57-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 57-day average