Trend-Following Backtester · Guide · backtest 한국어
equity · FR
STMicroelectronics NV backtest
10 trend-following strategies were compared on the full daily history of STMicroelectronics NV. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.8%, MDD -16.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.2%, drawdown -92.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.8%, MDD -16.4%, Sharpe 0.68, 6% exposure.
CAGR reference leader: Supertrend — CAGR 6.8%, MDD -69.2%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 76.4%p (CAGR 6.8%, MDD -16.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=3.5 |
6.8% | -16.4% | 0.68 | 0.41 | 5.1x | 8 | 6% |
| ADX / DI 방향성 period=24, threshold=29 |
3.4% | -21.5% | 0.40 | 0.16 | 2.3x | 20 | 5% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=3.2 |
2.9% | -24.4% | 0.40 | 0.12 | 2.0x | 22 | 4% |
| Donchian 채널 돌파 entryN=119, exitN=20 |
5.8% | -40.1% | 0.39 | 0.14 | 4.1x | 56 | 24% |
| Supertrend period=19, mult=3.7 |
6.8% | -69.2% | 0.37 | 0.10 | 5.2x | 144 | 49% |
| SMA 크로스오버 fast=48, slow=171 |
5.1% | -62.6% | 0.32 | 0.08 | 3.4x | 43 | 50% |
| EMA 크로스오버 fast=13, slow=36 |
5.0% | -61.3% | 0.31 | 0.08 | 3.4x | 152 | 51% |
| ROC 모멘텀 n=101, threshold=0 |
4.5% | -71.2% | 0.30 | 0.06 | 3.0x | 201 | 51% |
| MACD fast=11, slow=30, signal=19 |
-2.0% | -82.3% | 0.06 | -0.02 | 0.6x | 386 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-3.5% | -90.0% | 0.01 | -0.04 | 0.4x | 478 | 51% |
| Buy and hold | 1.2% | -92.8% | 0.23 | 0.01 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 42-day middle average