Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Synnex Technology International Corp. backtest
10 trend-following strategies were compared on the full daily history of Synnex Technology International Corp.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -42.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.3%, drawdown -82.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -50.7%, Sharpe 0.33, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 3.3%, MDD -42.2%, exposure 38%).
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=25, slow=194 |
5.2% | -50.7% | 0.33 | 0.10 | 3.8x | 57 | 53% |
| EMA 크로스오버 fast=22, slow=81 |
4.1% | -66.7% | 0.29 | 0.06 | 2.9x | 91 | 54% |
| Donchian 채널 돌파 entryN=54, exitN=70 |
3.7% | -62.3% | 0.27 | 0.06 | 2.7x | 55 | 60% |
| 볼린저 밴드 돌파 n=52, k=1.6 |
3.3% | -42.2% | 0.26 | 0.08 | 2.4x | 132 | 38% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=3.4 |
2.4% | -47.1% | 0.23 | 0.05 | 1.9x | 66 | 20% |
| ADX / DI 방향성 period=39, threshold=21 |
1.5% | -42.4% | 0.18 | 0.04 | 1.5x | 34 | 9% |
| Supertrend period=16, mult=5 |
1.1% | -65.3% | 0.17 | 0.02 | 1.3x | 83 | 53% |
| ROC 모멘텀 n=130, threshold=-0.04 |
-0.4% | -70.3% | 0.12 | -0.01 | 0.9x | 245 | 65% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.9% | -68.4% | -0.00 | -0.04 | 0.5x | 205 | 53% |
| MACD fast=19, slow=59, signal=18 |
-3.4% | -67.2% | -0.02 | -0.05 | 0.4x | 278 | 51% |
| Buy and hold | 3.3% | -82.5% | 0.27 | 0.04 | 2.4x | 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 25-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 25-day average falls below the 194-day average