Trend-Following Backtester · Guide · backtest 한국어
equity · US
Digi International Inc. backtest
10 trend-following strategies were compared on the full daily history of Digi International Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.3%, MDD -63.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.5%, drawdown -94.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -63.1%, Sharpe 0.59, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 16.3%, MDD -63.1%, exposure 56%).
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=35, slow=68 |
16.3% | -63.1% | 0.59 | 0.26 | 266.4x | 133 | 56% |
| Donchian 채널 돌파 entryN=31, exitN=39 |
10.5% | -86.8% | 0.45 | 0.12 | 39.7x | 113 | 60% |
| EMA 크로스오버 fast=30, slow=63 |
8.8% | -79.6% | 0.41 | 0.11 | 22.7x | 101 | 56% |
| Supertrend period=28, mult=4.8 |
6.9% | -79.1% | 0.37 | 0.09 | 11.8x | 103 | 52% |
| 볼린저 밴드 돌파 n=93, k=2.6 |
6.2% | -73.8% | 0.35 | 0.08 | 9.2x | 73 | 31% |
| ADX / DI 방향성 period=23, threshold=21 |
2.6% | -61.4% | 0.23 | 0.04 | 2.6x | 176 | 20% |
| ROC 모멘텀 n=88, threshold=0.07 |
-0.3% | -96.9% | 0.16 | -0.00 | 0.9x | 433 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=1.9 |
0.1% | -88.1% | 0.15 | 0.00 | 1.0x | 205 | 37% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.9% | -96.3% | 0.07 | -0.04 | 0.2x | 303 | 51% |
| MACD fast=11, slow=37, signal=17 |
-5.0% | -96.7% | 0.05 | -0.05 | 0.1x | 544 | 52% |
| Buy and hold | 8.5% | -94.6% | 0.42 | 0.09 | 20.6x | 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 35-day average price crosses above the 68-day average
- Sell — Sell (to cash) when the 35-day average falls below the 68-day average