Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Sigurd Microelectronics Corp. backtest
10 trend-following strategies were compared on the full daily history of Sigurd Microelectronics Corp.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.1%, MDD -45.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.2%, drawdown -85.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -45.2%, Sharpe 0.58, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 12.1%, MDD -45.2%, exposure 61%).
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=76, slow=263 |
12.1% | -45.2% | 0.58 | 0.27 | 13.8x | 17 | 61% |
| Supertrend period=4, mult=3.6 |
9.7% | -57.6% | 0.50 | 0.17 | 8.4x | 116 | 56% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=19, mult=1.6 |
7.1% | -43.9% | 0.41 | 0.16 | 4.8x | 112 | 49% |
| MACD fast=19, slow=49, signal=18 |
6.3% | -42.1% | 0.38 | 0.15 | 4.0x | 218 | 52% |
| EMA 크로스오버 fast=29, slow=63 |
6.6% | -56.4% | 0.38 | 0.12 | 4.3x | 75 | 58% |
| ROC 모멘텀 n=137, threshold=-0.04 |
5.8% | -65.8% | 0.35 | 0.09 | 3.7x | 147 | 66% |
| 볼린저 밴드 돌파 n=35, k=1.1 |
5.3% | -43.1% | 0.34 | 0.12 | 3.3x | 206 | 44% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.6% | -43.8% | 0.31 | 0.11 | 2.8x | 174 | 54% |
| Donchian 채널 돌파 entryN=53, exitN=33 |
3.9% | -62.0% | 0.28 | 0.06 | 2.4x | 68 | 42% |
| ADX / DI 방향성 period=35, threshold=19 |
3.2% | -46.0% | 0.26 | 0.07 | 2.1x | 64 | 23% |
| Buy and hold | 10.2% | -85.8% | 0.46 | 0.12 | 9.2x | 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 76-day average price crosses above the 263-day average
- Sell — Sell (to cash) when the 76-day average falls below the 263-day average