Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cisco Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cisco Systems, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.6%, MDD -44.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.2%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.6%, MDD -44.6%, Sharpe 0.86, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 22.6%, MDD -44.6%, exposure 66%).
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=34, slow=163 |
22.6% | -44.6% | 0.86 | 0.51 | 1671.8x | 53 | 66% |
| EMA 크로스오버 fast=44, slow=168 |
22.4% | -45.2% | 0.86 | 0.49 | 1570.4x | 41 | 67% |
| Supertrend period=29, mult=4.9 |
19.6% | -56.3% | 0.82 | 0.35 | 676.1x | 100 | 61% |
| Donchian 채널 돌파 entryN=52, exitN=33 |
17.9% | -39.5% | 0.78 | 0.45 | 406.1x | 94 | 55% |
| ROC 모멘텀 n=157, threshold=0 |
18.3% | -54.6% | 0.72 | 0.33 | 454.6x | 249 | 68% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=13, mult=3.6 |
7.8% | -46.8% | 0.48 | 0.17 | 15.6x | 113 | 39% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
5.8% | -50.3% | 0.45 | 0.12 | 7.8x | 62 | 20% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.0% | -70.8% | 0.35 | 0.08 | 8.3x | 340 | 57% |
| MACD fast=22, slow=39, signal=31 |
4.2% | -85.5% | 0.29 | 0.05 | 4.5x | 344 | 52% |
| ADX / DI 방향성 period=27, threshold=19 |
2.6% | -50.6% | 0.24 | 0.05 | 2.5x | 160 | 21% |
| Buy and hold | 22.2% | -89.3% | 0.71 | 0.25 | 1494.1x | 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 34-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 34-day average falls below the 163-day average