Trend-Following Backtester · Guide · backtest 한국어
equity · NL
BE Semiconductor Industries N.V. backtest
10 trend-following strategies were compared on the full daily history of BE Semiconductor Industries N.V.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.4%, MDD -54.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 15.0%, drawdown -96.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.0%, MDD -66.6%, Sharpe 0.76, 61% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 15.4%, MDD -54.2%, exposure 44%).
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=43, slow=140 |
22.0% | -66.6% | 0.76 | 0.33 | 265.3x | 47 | 61% |
| EMA 크로스오버 fast=27, slow=141 |
20.8% | -56.3% | 0.73 | 0.37 | 198.8x | 37 | 62% |
| Donchian 채널 돌파 entryN=60, exitN=70 |
18.1% | -63.4% | 0.67 | 0.29 | 106.8x | 42 | 62% |
| ROC 모멘텀 n=149, threshold=0 |
18.0% | -74.7% | 0.66 | 0.24 | 104.5x | 159 | 63% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=14, mult=2.9 |
15.4% | -54.2% | 0.66 | 0.28 | 56.0x | 90 | 44% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
13.3% | -53.2% | 0.61 | 0.25 | 33.1x | 88 | 36% |
| ADX / DI 방향성 period=37, threshold=8 |
14.1% | -82.2% | 0.57 | 0.17 | 40.5x | 282 | 53% |
| Supertrend period=20, mult=4.5 |
13.4% | -90.9% | 0.55 | 0.15 | 34.1x | 100 | 58% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.3% | -90.2% | 0.43 | 0.10 | 12.0x | 230 | 53% |
| MACD fast=18, slow=52, signal=12 |
7.0% | -91.3% | 0.36 | 0.08 | 6.6x | 352 | 52% |
| Buy and hold | 15.0% | -96.1% | 0.53 | 0.16 | 50.3x | 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 43-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 43-day average falls below the 140-day average