Trend-Following Backtester · Guide · backtest 한국어
equity · US
Snowflake Inc. backtest
10 trend-following strategies were compared on the full daily history of Snowflake Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.3%, MDD -36.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.5%, drawdown -73.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.6%, MDD -44.4%, Sharpe 0.78, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 23.1%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 21.3%, MDD -36.3%, exposure 47%).
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=11, slow=49 |
27.6% | -44.4% | 0.78 | 0.62 | 4.3x | 25 | 48% |
| Donchian 채널 돌파 entryN=28, exitN=26 |
21.3% | -36.3% | 0.66 | 0.59 | 3.2x | 19 | 47% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
19.6% | -39.0% | 0.65 | 0.50 | 2.9x | 23 | 40% |
| Supertrend period=8, mult=4.6 |
17.7% | -45.8% | 0.59 | 0.39 | 2.6x | 19 | 44% |
| ROC 모멘텀 n=41, threshold=-0.04 |
15.5% | -51.0% | 0.54 | 0.30 | 2.4x | 75 | 54% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=8, mult=1.7 |
12.6% | -54.8% | 0.50 | 0.23 | 2.0x | 31 | 37% |
| EMA 크로스오버 fast=41, slow=44 |
6.5% | -51.9% | 0.35 | 0.12 | 1.5x | 17 | 48% |
| ADX / DI 방향성 period=20, threshold=14 |
6.0% | -73.7% | 0.33 | 0.08 | 1.4x | 65 | 36% |
| Parabolic SAR step=0.025, maxStep=0.3 |
1.6% | -62.8% | 0.25 | 0.02 | 1.1x | 145 | 52% |
| MACD fast=15, slow=38, signal=10 |
-3.1% | -73.4% | 0.12 | -0.04 | 0.8x | 96 | 52% |
| Buy and hold | 4.5% | -73.0% | 0.37 | 0.06 | 1.3x | 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 11-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 11-day average falls below the 49-day average