Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SHIFT, Inc. backtest
10 trend-following strategies were compared on the full daily history of SHIFT, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 27.4%, MDD -42.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.8%, drawdown -75.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.4%, MDD -42.8%, Sharpe 0.79, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 27.4%, MDD -42.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=203 |
27.4% | -42.8% | 0.79 | 0.64 | 17.4x | 15 | 59% |
| Supertrend period=29, mult=4.9 |
26.9% | -51.0% | 0.77 | 0.53 | 16.6x | 33 | 56% |
| EMA 크로스오버 fast=55, slow=212 |
21.7% | -50.0% | 0.67 | 0.43 | 10.1x | 10 | 66% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
18.2% | -57.2% | 0.66 | 0.32 | 7.2x | 39 | 36% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=40, mult=2.8 |
15.9% | -45.8% | 0.63 | 0.35 | 5.7x | 47 | 31% |
| MACD fast=27, slow=86, signal=15 |
17.9% | -58.4% | 0.60 | 0.31 | 7.0x | 93 | 54% |
| Donchian 채널 돌파 entryN=34, exitN=18 |
16.5% | -44.5% | 0.60 | 0.37 | 6.1x | 49 | 41% |
| ROC 모멘텀 n=52, threshold=0.08 |
16.2% | -45.6% | 0.59 | 0.35 | 5.9x | 135 | 43% |
| ADX / DI 방향성 period=30, threshold=32 |
8.9% | -24.4% | 0.54 | 0.37 | 2.7x | 6 | 6% |
| Parabolic SAR step=0.02, maxStep=0.12 |
3.2% | -56.1% | 0.29 | 0.06 | 1.4x | 229 | 51% |
| Buy and hold | 21.8% | -75.6% | 0.63 | 0.29 | 10.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 42-day average falls below the 203-day average