Trend-Following Backtester · Guide · backtest 한국어
equity · US
Workiva Inc. backtest
10 trend-following strategies were compared on the full daily history of Workiva Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 23.7%, MDD -31.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 16.2%, drawdown -72.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 26.6%, MDD -35.3%, Sharpe 0.93, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 23.7%, MDD -31.4%, exposure 59%).
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=39, exitN=43 |
26.6% | -35.3% | 0.93 | 0.75 | 15.9x | 23 | 59% |
| EMA 크로스오버 fast=20, slow=106 |
23.7% | -31.4% | 0.87 | 0.76 | 12.1x | 25 | 59% |
| SMA 크로스오버 fast=11, slow=143 |
22.9% | -32.5% | 0.84 | 0.71 | 11.2x | 25 | 58% |
| Supertrend period=29, mult=5 |
21.0% | -37.6% | 0.79 | 0.56 | 9.3x | 29 | 57% |
| MACD fast=23, slow=70, signal=30 |
20.2% | -55.6% | 0.77 | 0.36 | 8.6x | 73 | 53% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
7.8% | -22.0% | 0.73 | 0.35 | 2.4x | 16 | 11% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=3.5 |
10.7% | -27.2% | 0.70 | 0.39 | 3.3x | 25 | 21% |
| ROC 모멘텀 n=72, threshold=0.01 |
14.9% | -43.4% | 0.61 | 0.34 | 5.1x | 103 | 58% |
| ADX / DI 방향성 period=24, threshold=9 |
10.7% | -47.0% | 0.51 | 0.23 | 3.3x | 163 | 55% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.3% | -66.1% | 0.22 | 0.04 | 1.3x | 107 | 58% |
| Buy and hold | 16.2% | -72.5% | 0.56 | 0.22 | 5.8x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 43 days