Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shutterstock, Inc. backtest
10 trend-following strategies were compared on the full daily history of Shutterstock, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.7%, MDD -28.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -9.6%, drawdown -95.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.5%, MDD -47.1%, Sharpe 0.52, 36% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.1%, MDD -65.3%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 4.7%, MDD -28.8%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=95, exitN=58 |
10.5% | -47.1% | 0.52 | 0.22 | 4.0x | 18 | 36% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=1.7 |
10.4% | -44.3% | 0.51 | 0.23 | 3.9x | 54 | 38% |
| EMA 크로스오버 fast=39, slow=50 |
11.1% | -65.3% | 0.50 | 0.17 | 4.3x | 32 | 46% |
| SMA 크로스오버 fast=16, slow=81 |
10.1% | -61.1% | 0.47 | 0.17 | 3.8x | 44 | 48% |
| ROC 모멘텀 n=75, threshold=0.11 |
8.8% | -47.9% | 0.45 | 0.18 | 3.2x | 136 | 35% |
| ADX / DI 방향성 period=39, threshold=14 |
7.6% | -56.5% | 0.42 | 0.14 | 2.8x | 64 | 32% |
| Supertrend period=21, mult=4.5 |
8.2% | -57.4% | 0.41 | 0.14 | 3.0x | 42 | 48% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
4.7% | -28.8% | 0.37 | 0.16 | 1.9x | 20 | 16% |
| MACD fast=11, slow=51, signal=16 |
-12.1% | -93.2% | -0.21 | -0.13 | 0.2x | 186 | 49% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-19.4% | -98.1% | -0.49 | -0.20 | 0.1x | 350 | 50% |
| Buy and hold | -9.6% | -95.7% | 0.03 | -0.10 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 95 days
- Sell — Sell when price breaks below the lowest low of the last 58 days