Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Silergy Corp. backtest
10 trend-following strategies were compared on the full daily history of Silergy Corp.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.2%, MDD -46.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.9%, drawdown -86.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.3%, MDD -60.5%, Sharpe 0.70, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 20.2%, MDD -46.9%, exposure 64%).
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=37, slow=208 |
21.3% | -60.5% | 0.70 | 0.35 | 11.5x | 19 | 59% |
| EMA 크로스오버 fast=59, slow=216 |
20.1% | -59.8% | 0.68 | 0.34 | 10.1x | 11 | 60% |
| Supertrend period=5, mult=4.6 |
20.2% | -46.9% | 0.67 | 0.43 | 10.3x | 34 | 64% |
| ROC 모멘텀 n=122, threshold=-0.02 |
19.1% | -69.4% | 0.64 | 0.28 | 9.1x | 85 | 65% |
| Donchian 채널 돌파 entryN=37, exitN=79 |
14.8% | -71.0% | 0.54 | 0.21 | 5.7x | 21 | 73% |
| ADX / DI 방향성 period=42, threshold=13 |
11.0% | -67.4% | 0.48 | 0.16 | 3.7x | 64 | 50% |
| 볼린저 밴드 돌파 n=42, k=1.4 |
10.1% | -47.4% | 0.46 | 0.21 | 3.4x | 82 | 42% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=29, mult=0.7 |
9.4% | -60.7% | 0.44 | 0.15 | 3.1x | 164 | 48% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-3.2% | -77.9% | 0.09 | -0.04 | 0.7x | 258 | 50% |
| MACD fast=18, slow=44, signal=18 |
-5.7% | -87.9% | 0.01 | -0.07 | 0.5x | 158 | 48% |
| Buy and hold | 18.9% | -86.6% | 0.60 | 0.22 | 8.9x | 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 37-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 37-day average falls below the 208-day average