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 19.1%, MDD -36.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.4%, drawdown -73.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.4%, MDD -44.4%, Sharpe 0.74, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 23.0%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 19.1%, 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 |
25.4% | -44.4% | 0.74 | 0.57 | 3.8x | 25 | 47% |
| Donchian 채널 돌파 entryN=28, exitN=26 |
19.1% | -36.3% | 0.62 | 0.53 | 2.8x | 19 | 47% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
17.5% | -39.0% | 0.60 | 0.45 | 2.6x | 23 | 39% |
| Supertrend period=8, mult=4.6 |
15.5% | -45.8% | 0.55 | 0.34 | 2.3x | 19 | 43% |
| ROC 모멘텀 n=41, threshold=-0.04 |
13.4% | -51.0% | 0.50 | 0.26 | 2.1x | 75 | 54% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=8, mult=1.7 |
10.5% | -54.8% | 0.45 | 0.19 | 1.8x | 31 | 36% |
| EMA 크로스오버 fast=41, slow=44 |
4.4% | -51.9% | 0.30 | 0.08 | 1.3x | 17 | 47% |
| ADX / DI 방향성 period=20, threshold=14 |
3.9% | -73.7% | 0.28 | 0.05 | 1.2x | 65 | 35% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-0.4% | -62.8% | 0.20 | -0.01 | 1.0x | 143 | 51% |
| MACD fast=15, slow=38, signal=10 |
-4.5% | -73.4% | 0.09 | -0.06 | 0.8x | 94 | 52% |
| Buy and hold | 2.4% | -73.0% | 0.34 | 0.03 | 1.1x | 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