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 28.7%, drawdown -68.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.5%, MDD -66.4%, Sharpe 0.62, 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 |
20.5% | -66.4% | 0.62 | 0.31 | 16.3x | 27 | 61% |
| EMA 크로스오버 fast=53, slow=123 |
17.4% | -71.0% | 0.56 | 0.25 | 11.1x | 23 | 63% |
| MACD fast=19, slow=55, signal=15 |
12.6% | -48.4% | 0.54 | 0.26 | 5.9x | 140 | 43% |
| Donchian 채널 돌파 entryN=33, exitN=79 |
15.2% | -73.0% | 0.54 | 0.21 | 8.4x | 23 | 77% |
| Supertrend period=16, mult=3.8 |
14.9% | -65.0% | 0.54 | 0.23 | 8.0x | 61 | 61% |
| ROC 모멘텀 n=147, threshold=-0.05 |
15.0% | -74.8% | 0.51 | 0.20 | 8.1x | 109 | 68% |
| ADX / DI 방향성 period=24, threshold=27 |
7.3% | -40.8% | 0.48 | 0.18 | 2.9x | 31 | 9% |
| Parabolic SAR step=0.015, maxStep=0.12 |
10.4% | -61.2% | 0.47 | 0.17 | 4.4x | 206 | 48% |
| 볼린저 밴드 돌파 n=29, k=3.2 |
7.6% | -38.1% | 0.47 | 0.20 | 3.0x | 29 | 12% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=3.2 |
7.0% | -65.5% | 0.36 | 0.11 | 2.8x | 41 | 31% |
| Buy and hold | 28.7% | -68.8% | 0.73 | 0.42 | 43.8x | 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