Trend-Following Backtester · Guide · backtest 한국어
equity · US
SES AI Corporation backtest
10 trend-following strategies were compared on the full daily history of SES AI Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.3%, MDD -51.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -42.4%, drawdown -97.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 28.3%, MDD -51.7%, Sharpe 0.64, 13% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 70.7%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 28.3%, MDD -51.7%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=2.6 |
28.3% | -51.7% | 0.64 | 0.55 | 3.9x | 24 | 13% |
| Donchian 채널 돌파 entryN=32, exitN=6 |
23.2% | -52.4% | 0.57 | 0.44 | 3.2x | 28 | 16% |
| ROC 모멘텀 n=24, threshold=0.14 |
17.6% | -66.1% | 0.52 | 0.27 | 2.4x | 60 | 19% |
| MACD fast=7, slow=26, signal=6 |
11.1% | -78.6% | 0.50 | 0.14 | 1.8x | 131 | 52% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=29, mult=1.5 |
17.5% | -60.2% | 0.50 | 0.29 | 2.4x | 34 | 12% |
| Supertrend period=26, mult=4.2 |
15.3% | -59.7% | 0.48 | 0.26 | 2.2x | 16 | 24% |
| SMA 크로스오버 fast=12, slow=40 |
6.0% | -71.1% | 0.42 | 0.08 | 1.4x | 42 | 38% |
| Parabolic SAR step=0.02, maxStep=0.22 |
1.4% | -82.7% | 0.36 | 0.02 | 1.1x | 108 | 41% |
| ADX / DI 방향성 period=8, threshold=26 |
-0.3% | -77.2% | 0.31 | -0.00 | 1.0x | 92 | 28% |
| EMA 크로스오버 fast=60, slow=170 |
1.2% | -69.5% | 0.25 | 0.02 | 1.1x | 4 | 14% |
| Buy and hold | -42.4% | -97.6% | 0.00 | -0.43 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 16-day middle average