Trend-Following Backtester · Guide · backtest 한국어
equity · US
Radware Ltd. backtest
10 trend-following strategies were compared on the full daily history of Radware Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.0%, MDD -60.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.8%, drawdown -93.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -73.8%, Sharpe 0.42, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 5.0%, MDD -60.6%, exposure 55%).
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=38, slow=187 |
8.1% | -73.8% | 0.42 | 0.11 | 8.1x | 35 | 51% |
| EMA 크로스오버 fast=31, slow=255 |
5.8% | -70.6% | 0.34 | 0.08 | 4.5x | 41 | 51% |
| Supertrend period=10, mult=2.3 |
5.0% | -60.6% | 0.31 | 0.08 | 3.7x | 231 | 55% |
| Donchian 채널 돌파 entryN=90, exitN=52 |
4.6% | -66.8% | 0.30 | 0.07 | 3.4x | 44 | 44% |
| ROC 모멘텀 n=138, threshold=0.01 |
3.8% | -67.4% | 0.27 | 0.06 | 2.7x | 209 | 50% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
2.3% | -50.0% | 0.25 | 0.05 | 1.9x | 26 | 10% |
| ADX / DI 방향성 period=36, threshold=15 |
2.3% | -53.9% | 0.21 | 0.04 | 1.8x | 116 | 20% |
| MACD fast=8, slow=52, signal=8 |
-0.4% | -86.4% | 0.14 | -0.00 | 0.9x | 529 | 52% |
| Parabolic SAR step=0.025, maxStep=0.08 |
-1.3% | -81.3% | 0.12 | -0.02 | 0.7x | 523 | 54% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=30, mult=2.2 |
-0.5% | -69.7% | 0.08 | -0.01 | 0.9x | 132 | 29% |
| Buy and hold | 2.8% | -93.8% | 0.29 | 0.03 | 2.1x | 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 38-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 38-day average falls below the 187-day average