Trend-Following Backtester · Guide · backtest 한국어
equity · US
MACOM Technology Solutions Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of MACOM Technology Solutions Holdings, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 23.3%, MDD -49.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.3%, drawdown -80.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.3%, MDD -49.8%, Sharpe 0.72, 75% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 23.3%, MDD -49.8%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=187, threshold=-0.07 |
23.3% | -49.8% | 0.72 | 0.47 | 20.7x | 57 | 75% |
| EMA 크로스오버 fast=6, slow=196 |
17.5% | -52.8% | 0.63 | 0.33 | 10.3x | 33 | 66% |
| Donchian 채널 돌파 entryN=15, exitN=39 |
16.5% | -68.4% | 0.58 | 0.24 | 9.1x | 59 | 74% |
| SMA 크로스오버 fast=40, slow=192 |
15.7% | -48.6% | 0.57 | 0.32 | 8.2x | 19 | 68% |
| Supertrend period=14, mult=3.1 |
11.5% | -74.1% | 0.49 | 0.16 | 4.8x | 86 | 58% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
10.3% | -55.8% | 0.47 | 0.19 | 4.2x | 84 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=1.1 |
9.9% | -61.7% | 0.45 | 0.16 | 3.9x | 112 | 51% |
| MACD fast=15, slow=35, signal=16 |
8.7% | -74.3% | 0.42 | 0.12 | 3.4x | 185 | 53% |
| ADX / DI 방향성 period=43, threshold=7 |
6.4% | -61.5% | 0.35 | 0.10 | 2.4x | 156 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.4% | -73.2% | 0.33 | 0.07 | 2.1x | 137 | 55% |
| Buy and hold | 19.3% | -80.8% | 0.61 | 0.24 | 12.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 187-day return is greater than -7%
- Sell — Sell when the 187-day return drops to -7% or below