Trend-Following Backtester · Guide · backtest 한국어
equity · US
Micron Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Micron Technology, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.3%, MDD -72.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 16.3%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.3%, MDD -72.3%, Sharpe 0.69, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 22.3%, MDD -72.3%, 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=34, slow=119 |
22.3% | -72.3% | 0.69 | 0.31 | 4856.1x | 81 | 56% |
| Donchian 채널 돌파 entryN=52, exitN=55 |
22.2% | -78.1% | 0.68 | 0.28 | 4666.6x | 81 | 57% |
| Supertrend period=7, mult=4.8 |
21.2% | -81.6% | 0.66 | 0.26 | 3365.3x | 134 | 57% |
| EMA 크로스오버 fast=31, slow=47 |
20.1% | -79.2% | 0.65 | 0.25 | 2277.0x | 127 | 56% |
| ROC 모멘텀 n=84, threshold=0.04 |
18.8% | -74.0% | 0.63 | 0.25 | 1445.1x | 379 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=2.6 |
14.9% | -77.7% | 0.59 | 0.19 | 346.6x | 178 | 36% |
| Parabolic SAR step=0.01, maxStep=0.02 |
15.4% | -97.2% | 0.55 | 0.16 | 419.8x | 226 | 54% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
14.0% | -90.1% | 0.55 | 0.16 | 248.4x | 188 | 40% |
| ADX / DI 방향성 period=32, threshold=6 |
14.0% | -87.7% | 0.52 | 0.16 | 246.2x | 564 | 55% |
| MACD fast=17, slow=37, signal=19 |
7.9% | -97.7% | 0.39 | 0.08 | 24.6x | 496 | 52% |
| Buy and hold | 16.3% | -98.2% | 0.55 | 0.17 | 579.8x | 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 34-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 34-day average falls below the 119-day average