Trend-Following Backtester · Guide · backtest 한국어
equity · US
Yext, Inc. backtest
10 trend-following strategies were compared on the full daily history of Yext, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.7%, MDD -39.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -9.3%, drawdown -87.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -43.8%, Sharpe 0.45, 25% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 9.1%, MDD -44.9%, exposure 25%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 5.7%, MDD -39.3%, exposure 18%).
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=59, exitN=31 |
8.6% | -43.8% | 0.45 | 0.20 | 2.2x | 15 | 25% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.6 |
9.1% | -44.9% | 0.43 | 0.20 | 2.2x | 27 | 25% |
| SMA 크로스오버 fast=53, slow=73 |
7.7% | -60.9% | 0.38 | 0.13 | 2.0x | 41 | 40% |
| EMA 크로스오버 fast=44, slow=81 |
7.0% | -52.2% | 0.36 | 0.13 | 1.9x | 15 | 38% |
| ADX / DI 방향성 period=19, threshold=23 |
5.7% | -39.3% | 0.35 | 0.14 | 1.7x | 34 | 18% |
| ROC 모멘텀 n=66, threshold=0.07 |
5.9% | -54.0% | 0.33 | 0.11 | 1.7x | 89 | 27% |
| Supertrend period=21, mult=5 |
4.8% | -69.3% | 0.30 | 0.07 | 1.6x | 23 | 42% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
1.9% | -64.8% | 0.20 | 0.03 | 1.2x | 23 | 19% |
| MACD fast=13, slow=50, signal=17 |
-16.1% | -87.8% | -0.22 | -0.18 | 0.2x | 119 | 51% |
| Parabolic SAR step=0.04, maxStep=0.3 |
-16.7% | -88.3% | -0.28 | -0.19 | 0.2x | 293 | 49% |
| Buy and hold | -9.3% | -87.6% | 0.08 | -0.11 | 0.4x | 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 59 days
- Sell — Sell when price breaks below the lowest low of the last 31 days