Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Synektik SA backtest
10 trend-following strategies were compared on the full daily history of Synektik SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.9%, drawdown -68.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.8%, MDD -66.4%, Sharpe 0.61, 61% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=24, slow=216 |
19.8% | -66.4% | 0.61 | 0.30 | 15.1x | 27 | 61% |
| EMA 크로스오버 fast=53, slow=123 |
16.7% | -71.0% | 0.55 | 0.24 | 10.2x | 23 | 64% |
| MACD fast=19, slow=55, signal=15 |
12.5% | -48.4% | 0.54 | 0.26 | 5.9x | 140 | 43% |
| Donchian 채널 돌파 entryN=33, exitN=79 |
14.6% | -73.0% | 0.53 | 0.20 | 7.7x | 23 | 77% |
| Supertrend period=16, mult=3.8 |
14.2% | -65.0% | 0.53 | 0.22 | 7.4x | 62 | 61% |
| ROC 모멘텀 n=147, threshold=-0.05 |
14.3% | -74.8% | 0.50 | 0.19 | 7.5x | 109 | 68% |
| ADX / DI 방향성 period=24, threshold=27 |
7.3% | -40.8% | 0.49 | 0.18 | 2.9x | 32 | 9% |
| Parabolic SAR step=0.015, maxStep=0.12 |
10.1% | -61.2% | 0.46 | 0.16 | 4.2x | 208 | 48% |
| 볼린저 밴드 돌파 n=29, k=3.2 |
7.4% | -38.1% | 0.46 | 0.20 | 2.9x | 30 | 12% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=3.2 |
6.5% | -65.5% | 0.35 | 0.10 | 2.6x | 42 | 31% |
| Buy and hold | 27.9% | -68.8% | 0.71 | 0.40 | 40.5x | 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 24-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 24-day average falls below the 216-day average