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 33.3%, MDD -35.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 43.5%, drawdown -60.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 32.0%, MDD -33.6%, Sharpe 1.01, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 34.1%, 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 33.3%, 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 |
32.0% | -33.6% | 1.01 | 0.95 | 16.3x | 35 | 52% |
| Supertrend period=8, mult=4.6 |
33.3% | -35.8% | 1.00 | 0.93 | 17.9x | 33 | 64% |
| Donchian 채널 돌파 entryN=31, exitN=67 |
34.1% | -45.3% | 0.99 | 0.75 | 19.0x | 21 | 71% |
| 볼린저 밴드 돌파 n=60, k=1.3 |
31.5% | -39.0% | 0.98 | 0.81 | 15.6x | 41 | 55% |
| SMA 크로스오버 fast=22, slow=216 |
33.4% | -51.0% | 0.98 | 0.66 | 18.1x | 17 | 62% |
| ROC 모멘텀 n=52, threshold=0 |
31.9% | -36.9% | 0.96 | 0.86 | 16.1x | 95 | 64% |
| EMA 크로스오버 fast=59, slow=99 |
32.0% | -51.0% | 0.95 | 0.63 | 16.2x | 15 | 64% |
| ADX / DI 방향성 period=23, threshold=16 |
22.5% | -52.5% | 0.80 | 0.43 | 7.7x | 74 | 47% |
| MACD fast=21, slow=52, signal=16 |
21.2% | -48.1% | 0.74 | 0.44 | 6.9x | 102 | 53% |
| Parabolic SAR step=0.025, maxStep=0.1 |
16.5% | -46.7% | 0.62 | 0.35 | 4.6x | 202 | 60% |
| Buy and hold | 43.5% | -60.0% | 1.03 | 0.73 | 37.6x | 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