Trend-Following Backtester · Guide · backtest 한국어
equity · US
POET Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of POET Technologies Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR -2.0%, drawdown -96.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -93.5%, Sharpe 0.47, 48% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=29, slow=159 |
10.1% | -93.5% | 0.47 | 0.11 | 5.7x | 37 | 48% |
| Donchian 채널 돌파 entryN=12, exitN=37 |
3.9% | -94.2% | 0.46 | 0.04 | 2.0x | 100 | 69% |
| EMA 크로스오버 fast=57, slow=125 |
5.6% | -95.8% | 0.42 | 0.06 | 2.7x | 29 | 51% |
| ADX / DI 방향성 period=29, threshold=10 |
-0.4% | -95.7% | 0.35 | -0.00 | 0.9x | 166 | 46% |
| ROC 모멘텀 n=67, threshold=-0.04 |
-3.3% | -97.6% | 0.33 | -0.03 | 0.5x | 290 | 54% |
| MACD fast=16, slow=30, signal=10 |
-6.1% | -97.4% | 0.30 | -0.06 | 0.3x | 296 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.9% | -96.2% | 0.29 | -0.05 | 0.4x | 120 | 43% |
| 볼린저 밴드 돌파 n=42, k=1.6 |
-6.6% | -94.4% | 0.20 | -0.07 | 0.3x | 116 | 30% |
| Supertrend period=19, mult=5 |
-16.1% | -97.6% | 0.12 | -0.16 | 0.0x | 102 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=3.8 |
-11.0% | -98.9% | 0.07 | -0.11 | 0.1x | 66 | 20% |
| Buy and hold | -2.0% | -96.9% | 0.48 | -0.02 | 0.7x | 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 29-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 29-day average falls below the 159-day average