Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lattice Semiconductor Corporation backtest
10 trend-following strategies were compared on the full daily history of Lattice Semiconductor Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -72.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.9%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -72.6%, Sharpe 0.51, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 24.8%p (CAGR 13.4%, MDD -72.6%, 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=58, slow=219 |
13.4% | -72.6% | 0.51 | 0.19 | 103.4x | 43 | 56% |
| Donchian 채널 돌파 entryN=30, exitN=74 |
13.0% | -95.9% | 0.49 | 0.14 | 88.8x | 81 | 77% |
| EMA 크로스오버 fast=45, slow=233 |
9.3% | -71.2% | 0.42 | 0.13 | 26.1x | 51 | 55% |
| ROC 모멘텀 n=148, threshold=0.09 |
8.0% | -74.8% | 0.39 | 0.11 | 16.9x | 279 | 50% |
| Supertrend period=8, mult=2.7 |
2.1% | -84.6% | 0.25 | 0.02 | 2.2x | 282 | 52% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
0.7% | -76.9% | 0.18 | 0.01 | 1.3x | 182 | 34% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=23, mult=3.2 |
1.2% | -67.1% | 0.17 | 0.02 | 1.5x | 114 | 24% |
| ADX / DI 방향성 period=32, threshold=18 |
1.0% | -69.5% | 0.16 | 0.02 | 1.5x | 134 | 19% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.7% | -93.4% | 0.08 | -0.05 | 0.2x | 330 | 51% |
| MACD fast=17, slow=31, signal=15 |
-5.0% | -97.9% | 0.06 | -0.05 | 0.1x | 536 | 50% |
| Buy and hold | 13.9% | -97.3% | 0.51 | 0.14 | 119.7x | 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 58-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 58-day average falls below the 219-day average