Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dolby Laboratories backtest
10 trend-following strategies were compared on the full daily history of Dolby Laboratories. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.0%, MDD -41.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -62.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.0%, MDD -41.4%, Sharpe 0.31, 33% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 20.8%p (CAGR 4.0%, MDD -41.4%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=84, threshold=0.08 |
4.0% | -41.4% | 0.31 | 0.10 | 2.3x | 174 | 33% |
| SMA 크로스오버 fast=55, slow=114 |
3.7% | -52.4% | 0.27 | 0.07 | 2.2x | 48 | 50% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=9, mult=3.9 |
2.0% | -22.7% | 0.23 | 0.09 | 1.5x | 33 | 16% |
| Donchian 채널 돌파 entryN=84, exitN=40 |
2.5% | -54.2% | 0.23 | 0.05 | 1.7x | 41 | 36% |
| Supertrend period=12, mult=5 |
2.4% | -46.2% | 0.22 | 0.05 | 1.7x | 61 | 50% |
| ADX / DI 방향성 period=23, threshold=25 |
1.5% | -23.0% | 0.20 | 0.06 | 1.4x | 55 | 14% |
| EMA 크로스오버 fast=35, slow=118 |
1.9% | -47.6% | 0.19 | 0.04 | 1.5x | 45 | 52% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
1.0% | -28.7% | 0.15 | 0.04 | 1.2x | 32 | 17% |
| MACD fast=14, slow=43, signal=17 |
-3.8% | -76.3% | -0.06 | -0.05 | 0.4x | 267 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.9% | -74.8% | -0.11 | -0.07 | 0.3x | 173 | 54% |
| Buy and hold | 4.4% | -62.2% | 0.29 | 0.07 | 2.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 84-day return is greater than 8%
- Sell — Sell when the 84-day return drops to 8% or below