Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cloudflare, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cloudflare, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 48.9%, MDD -63.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 48.8%, drawdown -82.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 48.9%, MDD -63.1%, Sharpe 1.08, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 48.9%, MDD -63.1%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=189 |
48.9% | -63.1% | 1.08 | 0.77 | 15.4x | 7 | 63% |
| Supertrend period=25, mult=2.2 |
38.2% | -53.2% | 0.93 | 0.72 | 9.3x | 79 | 54% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=8, mult=1.1 |
34.6% | -50.8% | 0.91 | 0.68 | 7.7x | 45 | 55% |
| EMA 크로스오버 fast=59, slow=82 |
38.6% | -70.5% | 0.90 | 0.55 | 9.4x | 11 | 69% |
| ROC 모멘텀 n=41, threshold=0 |
37.2% | -49.8% | 0.89 | 0.75 | 8.8x | 91 | 64% |
| ADX / DI 방향성 period=36, threshold=15 |
24.4% | -39.2% | 0.87 | 0.62 | 4.5x | 30 | 31% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
29.1% | -41.4% | 0.79 | 0.70 | 5.8x | 39 | 56% |
| Donchian 채널 돌파 entryN=13, exitN=43 |
29.6% | -68.6% | 0.74 | 0.43 | 5.9x | 27 | 79% |
| Parabolic SAR step=0.04, maxStep=0.18 |
22.2% | -73.4% | 0.66 | 0.30 | 4.0x | 213 | 53% |
| MACD fast=25, slow=27, signal=3 |
14.4% | -61.6% | 0.52 | 0.23 | 2.5x | 163 | 49% |
| Buy and hold | 48.8% | -82.6% | 0.93 | 0.59 | 15.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 54-day average falls below the 189-day average