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 19.7%, drawdown -84.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.1%, MDD -77.3%, Sharpe 0.60, 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=76, slow=90 |
18.1% | -77.3% | 0.60 | 0.23 | 25.2x | 67 | 56% |
| Supertrend period=17, mult=4.8 |
13.3% | -74.4% | 0.50 | 0.18 | 11.2x | 64 | 55% |
| Donchian 채널 돌파 entryN=44, exitN=74 |
12.9% | -76.1% | 0.49 | 0.17 | 10.5x | 41 | 67% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
11.7% | -59.0% | 0.48 | 0.20 | 8.5x | 92 | 41% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=21, mult=2.6 |
11.2% | -53.6% | 0.48 | 0.21 | 7.8x | 80 | 34% |
| EMA 크로스오버 fast=30, slow=198 |
10.9% | -79.0% | 0.46 | 0.14 | 7.4x | 32 | 57% |
| ROC 모멘텀 n=94, threshold=-0.04 |
9.7% | -84.5% | 0.43 | 0.12 | 6.0x | 170 | 62% |
| MACD fast=22, slow=51, signal=23 |
7.2% | -72.0% | 0.39 | 0.10 | 3.8x | 174 | 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 |
5.0% | -78.5% | 0.33 | 0.06 | 2.6x | 154 | 52% |
| Buy and hold | 19.7% | -84.8% | 0.60 | 0.23 | 32.3x | 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