Trend-Following Backtester · Guide · backtest 한국어
equity · US
Power Integrations, Inc. backtest
10 trend-following strategies were compared on the full daily history of Power Integrations, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.6%, drawdown -85.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -77.0%, Sharpe 0.42, 56% 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=63, slow=209 |
9.2% | -77.0% | 0.42 | 0.12 | 12.3x | 33 | 56% |
| Donchian 채널 돌파 entryN=16, exitN=77 |
7.4% | -89.3% | 0.39 | 0.08 | 7.7x | 77 | 82% |
| EMA 크로스오버 fast=44, slow=162 |
5.4% | -88.8% | 0.33 | 0.06 | 4.5x | 45 | 55% |
| ADX / DI 방향성 period=31, threshold=35 |
0.7% | -8.2% | 0.28 | 0.09 | 1.2x | 2 | 0% |
| ROC 모멘텀 n=60, threshold=-0.04 |
1.3% | -91.9% | 0.24 | 0.01 | 1.5x | 370 | 63% |
| Supertrend period=29, mult=3.4 |
1.0% | -86.4% | 0.21 | 0.01 | 1.3x | 160 | 56% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=14, mult=3.4 |
1.6% | -75.4% | 0.18 | 0.02 | 1.6x | 74 | 20% |
| MACD fast=19, slow=88, signal=20 |
-0.5% | -90.1% | 0.17 | -0.01 | 0.9x | 272 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.6% | -95.6% | 0.09 | -0.04 | 0.4x | 258 | 53% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
-1.5% | -89.6% | 0.06 | -0.02 | 0.6x | 112 | 22% |
| Buy and hold | 12.6% | -85.8% | 0.49 | 0.15 | 29.7x | 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 63-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 63-day average falls below the 209-day average