Trend-Following Backtester · Guide · backtest 한국어
equity · US
Microchip Technology Incorporated backtest
10 trend-following strategies were compared on the full daily history of Microchip Technology Incorporated. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -64.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -15.0%, Sharpe 0.50, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.6%, MDD -75.4%, exposure 92%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=37 |
3.2% | -15.0% | 0.50 | 0.21 | 2.9x | 2 | 1% |
| Donchian 채널 돌파 entryN=16, exitN=178 |
12.6% | -75.4% | 0.49 | 0.17 | 52.8x | 39 | 92% |
| Supertrend period=21, mult=5 |
5.2% | -68.4% | 0.32 | 0.08 | 5.4x | 104 | 58% |
| SMA 크로스오버 fast=71, slow=215 |
5.0% | -60.1% | 0.32 | 0.08 | 5.1x | 41 | 65% |
| EMA 크로스오버 fast=34, slow=100 |
4.9% | -65.0% | 0.31 | 0.07 | 4.9x | 83 | 66% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.3% | -90.5% | 0.20 | 0.01 | 1.5x | 284 | 55% |
| ROC 모멘텀 n=139, threshold=-0.04 |
-0.4% | -86.0% | 0.17 | -0.00 | 0.9x | 319 | 71% |
| MACD fast=19, slow=58, signal=35 |
-0.8% | -88.3% | 0.13 | -0.01 | 0.8x | 286 | 50% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
0.5% | -41.6% | 0.10 | 0.01 | 1.2x | 16 | 3% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=25, mult=2 |
-0.8% | -85.2% | 0.06 | -0.01 | 0.8x | 212 | 25% |
| Buy and hold | 17.6% | -64.5% | 0.58 | 0.27 | 226.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)