Trend-Following Backtester · Guide · backtest 한국어
equity · US
Monolithic Power Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Monolithic Power Systems, 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 19.3%, MDD -50.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.0%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.3%, MDD -50.5%, Sharpe 0.68, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.7%, MDD -69.9%, exposure 91%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p lower than buy and hold, while drawdown improves by 21.8%p (CAGR 19.3%, MDD -50.5%, exposure 70%).
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=8, slow=183 |
19.3% | -50.5% | 0.68 | 0.38 | 46.7x | 47 | 70% |
| Donchian 채널 돌파 entryN=10, exitN=100 |
21.7% | -69.9% | 0.67 | 0.31 | 71.7x | 45 | 91% |
| EMA 크로스오버 fast=40, slow=188 |
15.7% | -67.2% | 0.58 | 0.23 | 24.1x | 27 | 73% |
| ROC 모멘텀 n=101, threshold=-0.05 |
15.8% | -71.8% | 0.58 | 0.22 | 24.2x | 155 | 76% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.6 |
11.5% | -38.7% | 0.52 | 0.30 | 10.6x | 134 | 54% |
| Supertrend period=11, mult=2.2 |
9.8% | -50.4% | 0.45 | 0.20 | 7.7x | 214 | 58% |
| MACD fast=13, slow=44, signal=19 |
9.7% | -59.9% | 0.45 | 0.16 | 7.4x | 266 | 53% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
8.6% | -46.7% | 0.44 | 0.18 | 6.0x | 126 | 46% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.8% | -59.2% | 0.39 | 0.13 | 5.2x | 202 | 58% |
| ADX / DI 방향성 period=31, threshold=7 |
2.2% | -73.6% | 0.23 | 0.03 | 1.6x | 320 | 58% |
| Buy and hold | 25.0% | -72.3% | 0.71 | 0.35 | 128.2x | 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 8-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 8-day average falls below the 183-day average