Trend-Following Backtester · Guide · backtest 한국어
equity · US
Silgan Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Silgan Holdings Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -86.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.9%, MDD -50.6%, Sharpe 0.41, 66% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.9%, MDD -52.6%, exposure 56%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=60, slow=211 |
6.9% | -50.6% | 0.41 | 0.14 | 7.2x | 34 | 66% |
| SMA 크로스오버 fast=44, slow=61 |
6.9% | -52.6% | 0.40 | 0.13 | 7.2x | 139 | 56% |
| Donchian 채널 돌파 entryN=15, exitN=47 |
5.9% | -73.1% | 0.35 | 0.08 | 5.4x | 107 | 76% |
| Supertrend period=15, mult=5 |
5.4% | -59.9% | 0.34 | 0.09 | 4.7x | 77 | 56% |
| ADX / DI 방향성 period=33, threshold=33 |
2.2% | -26.3% | 0.33 | 0.09 | 1.9x | 14 | 3% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=3.9 |
3.1% | -36.5% | 0.30 | 0.08 | 2.4x | 50 | 18% |
| ROC 모멘텀 n=168, threshold=-0.09 |
4.0% | -59.7% | 0.28 | 0.07 | 3.2x | 135 | 78% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
1.2% | -18.4% | 0.20 | 0.06 | 1.4x | 34 | 3% |
| MACD fast=16, slow=25, signal=19 |
-1.7% | -78.8% | 0.05 | -0.02 | 0.6x | 396 | 50% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-3.1% | -95.4% | -0.02 | -0.03 | 0.4x | 558 | 52% |
| Buy and hold | 9.5% | -86.1% | 0.43 | 0.11 | 14.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 60-day EMA crosses above the 211-day EMA
- Sell — Sell when the 60-day EMA falls below the 211-day EMA