Trend-Following Backtester · Guide · backtest 한국어
equity · US
Simpson Manufacturing Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Simpson Manufacturing Company, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -69.3%).
Sharpe leader (same as main): Supertrend — CAGR 5.1%, MDD -69.0%, Sharpe 0.32, 60% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=4.2 |
5.1% | -69.0% | 0.32 | 0.07 | 4.9x | 137 | 60% |
| Donchian 채널 돌파 entryN=29, exitN=27 |
4.9% | -67.9% | 0.32 | 0.07 | 4.6x | 145 | 56% |
| SMA 크로스오버 fast=59, slow=190 |
4.9% | -64.7% | 0.31 | 0.08 | 4.7x | 49 | 67% |
| EMA 크로스오버 fast=30, slow=124 |
3.9% | -71.2% | 0.28 | 0.06 | 3.4x | 83 | 68% |
| MACD fast=54, slow=74, signal=18 |
3.7% | -52.0% | 0.27 | 0.07 | 3.2x | 212 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.4% | -74.8% | 0.26 | 0.05 | 3.0x | 281 | 55% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=3.8 |
0.7% | -16.0% | 0.18 | 0.05 | 1.3x | 28 | 3% |
| ROC 모멘텀 n=114, threshold=-0.04 |
0.0% | -89.3% | 0.14 | 0.00 | 1.0x | 298 | 72% |
| 볼린저 밴드 돌파 n=63, k=1.2 |
0.4% | -64.3% | 0.13 | 0.01 | 1.1x | 194 | 46% |
| ADX / DI 방향성 period=37, threshold=29 |
0.4% | -22.5% | 0.11 | 0.02 | 1.2x | 10 | 3% |
| Buy and hold | 13.7% | -69.3% | 0.54 | 0.20 | 61.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)