Trend-Following Backtester · Guide · backtest 한국어
equity · NL
ASML Holding NV backtest
10 trend-following strategies were compared on the full daily history of ASML Holding NV. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 25.8%, MDD -44.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 22.5%, drawdown -90.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.2%, MDD -44.6%, Sharpe 0.62, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 25.8%, MDD -44.1%, exposure 66%).
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=35, slow=140 |
26.2% | -44.6% | 0.62 | 0.59 | 700.6x | 53 | 64% |
| EMA 크로스오버 fast=55, slow=118 |
25.8% | -44.1% | 0.61 | 0.59 | 638.3x | 35 | 66% |
| Donchian 채널 돌파 entryN=84, exitN=73 |
24.8% | -51.7% | 0.60 | 0.48 | 512.3x | 33 | 60% |
| ROC 모멘텀 n=101, threshold=-0.03 |
21.2% | -62.0% | 0.54 | 0.34 | 224.0x | 221 | 69% |
| Supertrend period=13, mult=5 |
18.3% | -63.0% | 0.49 | 0.29 | 112.5x | 92 | 57% |
| 볼린저 밴드 돌파 n=71, k=0.8 |
13.6% | -61.9% | 0.41 | 0.22 | 35.7x | 172 | 54% |
| ADX / DI 방향성 period=35, threshold=9 |
13.1% | -61.0% | 0.40 | 0.21 | 31.5x | 313 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=1.9 |
12.0% | -70.0% | 0.38 | 0.17 | 24.1x | 172 | 49% |
| Parabolic SAR step=0.005, maxStep=0.14 |
9.5% | -77.0% | 0.34 | 0.12 | 13.0x | 255 | 56% |
| MACD fast=18, slow=46, signal=18 |
4.8% | -91.2% | 0.25 | 0.05 | 3.7x | 342 | 52% |
| Buy and hold | 22.5% | -90.0% | 0.56 | 0.25 | 300.3x | 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 35-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 35-day average falls below the 140-day average