Trend-Following Backtester · Guide · backtest 한국어
equity · US
Super Micro Computer, Inc. backtest
10 trend-following strategies were compared on the full daily history of Super Micro Computer, 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 21.3%, drawdown -84.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.7%, MDD -77.3%, Sharpe 0.63, 57% 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=76, slow=90 |
19.7% | -77.3% | 0.63 | 0.26 | 33.0x | 67 | 57% |
| Donchian 채널 돌파 entryN=44, exitN=74 |
14.4% | -76.1% | 0.52 | 0.19 | 13.7x | 41 | 67% |
| Supertrend period=17, mult=4.8 |
13.2% | -74.4% | 0.50 | 0.18 | 11.0x | 65 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
11.5% | -60.7% | 0.47 | 0.19 | 8.2x | 93 | 41% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=21, mult=2.6 |
11.1% | -56.8% | 0.47 | 0.19 | 7.7x | 81 | 34% |
| EMA 크로스오버 fast=30, slow=198 |
10.7% | -79.0% | 0.45 | 0.13 | 7.1x | 33 | 57% |
| ROC 모멘텀 n=94, threshold=-0.04 |
10.6% | -84.5% | 0.45 | 0.13 | 7.0x | 171 | 62% |
| MACD fast=22, slow=51, signal=23 |
8.3% | -72.0% | 0.41 | 0.11 | 4.7x | 175 | 53% |
| ADX / DI 방향성 period=15, threshold=38 |
5.3% | -42.0% | 0.37 | 0.13 | 2.7x | 42 | 7% |
| Parabolic SAR step=0.005, maxStep=0.28 |
5.9% | -78.6% | 0.35 | 0.07 | 3.0x | 155 | 52% |
| Buy and hold | 21.3% | -84.8% | 0.62 | 0.25 | 42.3x | 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 76-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 76-day average falls below the 90-day average