Trend-Following Backtester · Guide · backtest 한국어
equity · US
SLB Limited backtest
10 trend-following strategies were compared on the full daily history of SLB Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.4%, MDD -52.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.9%, drawdown -89.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -52.0%, Sharpe 0.38, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 6.4%, MDD -52.0%, exposure 54%).
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=38, slow=323 |
6.4% | -52.0% | 0.38 | 0.12 | 15.7x | 39 | 54% |
| EMA 크로스오버 fast=62, slow=199 |
4.8% | -54.5% | 0.31 | 0.09 | 7.9x | 49 | 55% |
| Donchian 채널 돌파 entryN=66, exitN=79 |
3.3% | -61.0% | 0.25 | 0.05 | 4.2x | 71 | 59% |
| 볼린저 밴드 돌파 n=15, k=3 |
0.8% | -22.5% | 0.18 | 0.04 | 1.5x | 39 | 3% |
| ROC 모멘텀 n=83, threshold=-0.04 |
0.3% | -77.4% | 0.14 | 0.00 | 1.1x | 450 | 65% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=33, mult=3.7 |
0.7% | -37.4% | 0.12 | 0.02 | 1.3x | 92 | 19% |
| ADX / DI 방향성 period=34, threshold=19 |
0.4% | -38.0% | 0.09 | 0.01 | 1.2x | 90 | 11% |
| Supertrend period=16, mult=5 |
-1.9% | -82.2% | 0.04 | -0.02 | 0.4x | 144 | 54% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-3.3% | -84.3% | -0.03 | -0.04 | 0.2x | 288 | 53% |
| MACD fast=24, slow=63, signal=23 |
-4.1% | -90.8% | -0.05 | -0.05 | 0.2x | 384 | 51% |
| Buy and hold | 2.9% | -89.8% | 0.26 | 0.03 | 3.5x | 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 38-day average price crosses above the 323-day average
- Sell — Sell (to cash) when the 38-day average falls below the 323-day average