Trend-Following Backtester · Guide · backtest 한국어
equity · US
Littelfuse, Inc. backtest
10 trend-following strategies were compared on the full daily history of Littelfuse, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -58.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -82.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -58.6%, Sharpe 0.49, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 23.9%p (CAGR 10.2%, MDD -58.6%, exposure 62%).
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=124 |
10.2% | -58.6% | 0.49 | 0.17 | 27.4x | 77 | 62% |
| EMA 크로스오버 fast=40, slow=176 |
9.5% | -54.4% | 0.47 | 0.17 | 21.7x | 45 | 62% |
| Donchian 채널 돌파 entryN=111, exitN=67 |
8.0% | -54.7% | 0.44 | 0.15 | 13.5x | 47 | 50% |
| ROC 모멘텀 n=152, threshold=-0.03 |
4.3% | -79.1% | 0.29 | 0.05 | 4.1x | 221 | 65% |
| Supertrend period=7, mult=4.7 |
3.9% | -71.5% | 0.28 | 0.05 | 3.6x | 108 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.3% | -70.8% | 0.22 | 0.03 | 2.2x | 280 | 56% |
| MACD fast=24, slow=36, signal=19 |
-2.1% | -84.7% | 0.05 | -0.03 | 0.5x | 386 | 49% |
| 볼린저 밴드 돌파 n=47, k=1.9 |
-2.1% | -78.3% | 0.01 | -0.03 | 0.5x | 180 | 35% |
| ADX / DI 방향성 period=18, threshold=17 |
-2.5% | -81.2% | 0.00 | -0.03 | 0.4x | 406 | 39% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=2.3 |
-2.1% | -77.4% | -0.00 | -0.03 | 0.5x | 176 | 35% |
| Buy and hold | 13.0% | -82.4% | 0.51 | 0.16 | 63.1x | 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 124-day average
- Sell — Sell (to cash) when the 34-day average falls below the 124-day average