Trend-Following Backtester · Guide · backtest 한국어
equity · US
Semtech Corporation backtest
10 trend-following strategies were compared on the full daily history of Semtech Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.4%, MDD -68.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.5%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -70.7%, Sharpe 0.55, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 13.4%, MDD -68.3%, exposure 33%).
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=55, slow=182 |
15.7% | -70.7% | 0.55 | 0.22 | 879.5x | 67 | 50% |
| Donchian 채널 돌파 entryN=116, exitN=39 |
13.4% | -68.3% | 0.52 | 0.20 | 334.1x | 74 | 33% |
| EMA 크로스오버 fast=50, slow=74 |
10.3% | -87.0% | 0.44 | 0.12 | 94.3x | 109 | 52% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
6.3% | -55.7% | 0.39 | 0.11 | 17.3x | 32 | 9% |
| Supertrend period=9, mult=5 |
5.1% | -98.8% | 0.34 | 0.05 | 10.1x | 160 | 58% |
| MACD fast=40, slow=69, signal=30 |
4.3% | -97.0% | 0.32 | 0.04 | 7.2x | 302 | 53% |
| ROC 모멘텀 n=108, threshold=0.03 |
4.9% | -95.0% | 0.32 | 0.05 | 9.0x | 397 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=3 |
4.6% | -84.2% | 0.30 | 0.05 | 8.1x | 162 | 27% |
| ADX / DI 방향성 period=27, threshold=12 |
2.6% | -91.2% | 0.26 | 0.03 | 3.3x | 500 | 41% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.4% | -95.4% | 0.19 | -0.01 | 0.5x | 362 | 50% |
| Buy and hold | 10.5% | -92.7% | 0.48 | 0.11 | 101.3x | 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 55-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 55-day average falls below the 182-day average