Trend-Following Backtester · Guide · backtest 한국어
equity · US
Toast, Inc. backtest
10 trend-following strategies were compared on the full daily history of Toast, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.5%, MDD -30.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -14.3%, drawdown -80.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.9%, MDD -36.3%, Sharpe 0.60, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 31.2%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 9.5%, MDD -30.7%, exposure 37%).
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=32, exitN=42 |
16.9% | -36.3% | 0.60 | 0.47 | 2.2x | 9 | 53% |
| 볼린저 밴드 돌파 n=35, k=1.7 |
9.1% | -32.7% | 0.44 | 0.28 | 1.6x | 26 | 31% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=1.1 |
9.5% | -30.7% | 0.44 | 0.31 | 1.6x | 28 | 37% |
| SMA 크로스오버 fast=13, slow=84 |
8.5% | -36.8% | 0.41 | 0.23 | 1.5x | 15 | 46% |
| EMA 크로스오버 fast=11, slow=212 |
7.9% | -32.4% | 0.40 | 0.24 | 1.5x | 8 | 43% |
| ROC 모멘텀 n=57, threshold=0.13 |
7.4% | -32.4% | 0.39 | 0.23 | 1.4x | 42 | 30% |
| Supertrend period=15, mult=5 |
5.7% | -44.7% | 0.34 | 0.13 | 1.3x | 14 | 45% |
| ADX / DI 방향성 period=38, threshold=12 |
3.9% | -39.8% | 0.28 | 0.10 | 1.2x | 18 | 32% |
| MACD fast=15, slow=58, signal=18 |
-1.2% | -55.2% | 0.19 | -0.02 | 0.9x | 42 | 52% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-14.4% | -66.8% | -0.20 | -0.22 | 0.5x | 46 | 44% |
| Buy and hold | -14.3% | -80.6% | 0.05 | -0.18 | 0.5x | 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 32 days
- Sell — Sell when price breaks below the lowest low of the last 42 days