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 20.0%, MDD -50.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.8%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.0%, MDD -50.5%, Sharpe 0.70, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 22.4%, 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 20.0%, 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 |
20.0% | -50.5% | 0.70 | 0.40 | 52.5x | 47 | 70% |
| Donchian 채널 돌파 entryN=10, exitN=100 |
22.4% | -69.9% | 0.69 | 0.32 | 80.6x | 45 | 91% |
| EMA 크로스오버 fast=40, slow=188 |
16.4% | -67.2% | 0.60 | 0.24 | 27.1x | 27 | 73% |
| ROC 모멘텀 n=101, threshold=-0.05 |
16.5% | -71.8% | 0.60 | 0.23 | 27.2x | 155 | 76% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.6 |
11.5% | -38.7% | 0.52 | 0.30 | 10.6x | 134 | 54% |
| MACD fast=13, slow=44, signal=19 |
10.3% | -59.9% | 0.47 | 0.17 | 8.3x | 264 | 53% |
| Supertrend period=11, mult=2.2 |
9.9% | -50.4% | 0.45 | 0.20 | 7.7x | 214 | 58% |
| 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 |
8.5% | -59.2% | 0.41 | 0.14 | 5.8x | 200 | 58% |
| ADX / DI 방향성 period=31, threshold=7 |
3.0% | -73.6% | 0.25 | 0.04 | 1.9x | 314 | 59% |
| Buy and hold | 25.8% | -72.3% | 0.72 | 0.36 | 144.2x | 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