Trend-Following Backtester · Guide · backtest 한국어
equity · US
Skyworks Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Skyworks Solutions, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.1%, MDD -75.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.7%, drawdown -96.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -78.3%, Sharpe 0.42, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 7.1%, MDD -75.2%, exposure 22%).
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=51, slow=92 |
9.6% | -78.3% | 0.42 | 0.12 | 46.4x | 117 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=4 |
7.1% | -75.2% | 0.39 | 0.09 | 17.4x | 86 | 22% |
| Donchian 채널 돌파 entryN=28, exitN=75 |
7.2% | -92.5% | 0.38 | 0.08 | 18.8x | 107 | 71% |
| MACD fast=23, slow=75, signal=28 |
6.5% | -82.9% | 0.35 | 0.08 | 13.8x | 324 | 48% |
| 볼린저 밴드 돌파 n=58, k=2 |
5.3% | -82.2% | 0.32 | 0.06 | 8.6x | 150 | 32% |
| EMA 크로스오버 fast=37, slow=52 |
4.6% | -87.2% | 0.31 | 0.05 | 6.6x | 132 | 52% |
| Supertrend period=13, mult=4.8 |
3.3% | -94.9% | 0.28 | 0.03 | 3.9x | 152 | 52% |
| ADX / DI 방향성 period=13, threshold=32 |
3.6% | -46.4% | 0.28 | 0.08 | 4.4x | 162 | 12% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.6% | -87.9% | 0.24 | 0.02 | 1.9x | 316 | 50% |
| ROC 모멘텀 n=141, threshold=0.09 |
-1.8% | -97.5% | 0.14 | -0.02 | 0.5x | 358 | 43% |
| Buy and hold | 5.7% | -96.1% | 0.40 | 0.06 | 10.3x | 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 51-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 51-day average falls below the 92-day average