Trend-Following Backtester · Guide · backtest 한국어
equity · US
SiTime Corporation backtest
10 trend-following strategies were compared on the full daily history of SiTime Corporation. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 74.2%, drawdown -78.1%).
Sharpe leader (same as main): MACD — CAGR 47.2%, MDD -65.8%, Sharpe 1.01, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 57.4%, MDD -77.5%, exposure 83%.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=52, signal=31 |
47.2% | -65.8% | 1.01 | 0.72 | 13.3x | 40 | 51% |
| Donchian 채널 돌파 entryN=16, exitN=66 |
57.4% | -77.5% | 1.00 | 0.74 | 20.8x | 18 | 83% |
| EMA 크로스오버 fast=7, slow=41 |
50.1% | -72.3% | 1.00 | 0.69 | 15.2x | 48 | 62% |
| 볼린저 밴드 돌파 n=65, k=1.4 |
43.2% | -44.6% | 0.97 | 0.97 | 11.1x | 26 | 51% |
| Supertrend period=25, mult=2.4 |
45.1% | -65.8% | 0.96 | 0.69 | 12.1x | 62 | 52% |
| ROC 모멘텀 n=106, threshold=0.17 |
42.7% | -52.4% | 0.94 | 0.81 | 10.8x | 47 | 48% |
| SMA 크로스오버 fast=32, slow=132 |
44.5% | -67.8% | 0.93 | 0.66 | 11.8x | 13 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=0.6 |
43.6% | -66.1% | 0.93 | 0.66 | 11.3x | 50 | 58% |
| ADX / DI 방향성 period=39, threshold=11 |
43.7% | -62.4% | 0.93 | 0.70 | 11.3x | 62 | 54% |
| Parabolic SAR step=0.03, maxStep=0.26 |
22.4% | -76.2% | 0.64 | 0.29 | 3.9x | 184 | 53% |
| Buy and hold | 74.2% | -78.1% | 1.09 | 0.95 | 41.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/52) crosses above its 31-day signal line
- Sell — Sell when the MACD line crosses back below the signal line