Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sanmina Corporation backtest
10 trend-following strategies were compared on the full daily history of Sanmina Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.5%, MDD -69.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.3%, drawdown -99.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.5%, MDD -69.6%, Sharpe 0.50, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 12.5%, MDD -69.6%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=48, slow=180 |
12.5% | -69.6% | 0.50 | 0.18 | 51.2x | 37 | 59% |
| SMA 크로스오버 fast=13, slow=40 |
12.4% | -73.9% | 0.49 | 0.17 | 49.9x | 224 | 57% |
| ROC 모멘텀 n=196, threshold=0.11 |
11.8% | -64.4% | 0.48 | 0.18 | 40.8x | 163 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=68 |
12.2% | -97.1% | 0.48 | 0.13 | 46.3x | 107 | 84% |
| Supertrend period=8, mult=3 |
11.6% | -72.0% | 0.47 | 0.16 | 38.6x | 214 | 55% |
| Parabolic SAR step=0.005, maxStep=0.18 |
9.7% | -71.5% | 0.43 | 0.14 | 22.0x | 279 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1.9 |
6.8% | -75.4% | 0.37 | 0.09 | 9.1x | 182 | 42% |
| ADX / DI 방향성 period=27, threshold=18 |
3.9% | -75.5% | 0.28 | 0.05 | 3.6x | 206 | 28% |
| 볼린저 밴드 돌파 n=43, k=1 |
3.6% | -90.5% | 0.28 | 0.04 | 3.2x | 292 | 48% |
| MACD fast=30, slow=32, signal=19 |
2.2% | -95.2% | 0.26 | 0.02 | 2.1x | 340 | 52% |
| Buy and hold | 12.3% | -99.7% | 0.49 | 0.12 | 48.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 180-day EMA
- Sell — Sell when the 48-day EMA falls below the 180-day EMA