Trend-Following Backtester · Guide · backtest 한국어
equity · US
Keysight Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of Keysight Technologies 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 22.7%, drawdown -45.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.5%, MDD -48.3%, Sharpe 0.80, 67% 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=70, slow=202 |
19.5% | -48.3% | 0.80 | 0.40 | 8.3x | 11 | 67% |
| EMA 크로스오버 fast=26, slow=197 |
17.5% | -45.1% | 0.75 | 0.39 | 6.8x | 15 | 72% |
| Donchian 채널 돌파 entryN=8, exitN=51 |
16.9% | -40.2% | 0.70 | 0.42 | 6.4x | 45 | 84% |
| Supertrend period=19, mult=4.5 |
12.0% | -39.9% | 0.60 | 0.30 | 3.8x | 48 | 62% |
| ROC 모멘텀 n=118, threshold=0.03 |
11.3% | -44.2% | 0.57 | 0.26 | 3.6x | 83 | 62% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=3.2 |
4.4% | -23.3% | 0.37 | 0.19 | 1.7x | 44 | 28% |
| MACD fast=17, slow=34, signal=16 |
2.9% | -34.0% | 0.24 | 0.09 | 1.4x | 150 | 48% |
| Parabolic SAR step=0.03, maxStep=0.12 |
2.9% | -38.2% | 0.24 | 0.07 | 1.4x | 290 | 56% |
| ADX / DI 방향성 period=18, threshold=19 |
1.2% | -42.5% | 0.16 | 0.03 | 1.2x | 110 | 34% |
| 볼린저 밴드 돌파 n=13, k=1.2 |
-1.2% | -49.0% | 0.04 | -0.02 | 0.9x | 252 | 45% |
| Buy and hold | 22.7% | -45.5% | 0.80 | 0.50 | 11.4x | 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 70-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 70-day average falls below the 202-day average