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 50.0%, MDD -63.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 50.0%, drawdown -82.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 50.0%, MDD -63.1%, Sharpe 1.10, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 50.0%, MDD -63.1%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=189 |
50.0% | -63.1% | 1.10 | 0.79 | 16.9x | 7 | 64% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=8, mult=1.1 |
35.9% | -50.8% | 0.93 | 0.71 | 8.5x | 45 | 55% |
| EMA 크로스오버 fast=59, slow=82 |
39.8% | -70.5% | 0.92 | 0.56 | 10.3x | 11 | 69% |
| Supertrend period=25, mult=2.2 |
37.5% | -53.2% | 0.92 | 0.71 | 9.2x | 80 | 54% |
| ROC 모멘텀 n=41, threshold=0 |
38.5% | -49.8% | 0.91 | 0.77 | 9.6x | 91 | 64% |
| ADX / DI 방향성 period=36, threshold=15 |
22.6% | -39.2% | 0.81 | 0.58 | 4.1x | 31 | 32% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
30.4% | -41.4% | 0.81 | 0.73 | 6.4x | 39 | 56% |
| Donchian 채널 돌파 entryN=13, exitN=43 |
30.8% | -68.6% | 0.76 | 0.45 | 6.5x | 27 | 79% |
| Parabolic SAR step=0.04, maxStep=0.18 |
23.2% | -73.4% | 0.68 | 0.32 | 4.3x | 215 | 53% |
| MACD fast=25, slow=27, signal=3 |
15.4% | -61.6% | 0.54 | 0.25 | 2.7x | 164 | 50% |
| Buy and hold | 50.0% | -82.6% | 0.94 | 0.61 | 16.9x | 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