Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sensata Technologies Holding plc backtest
10 trend-following strategies were compared on the full daily history of Sensata Technologies Holding plc. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.9%, MDD -38.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.9%, drawdown -72.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -38.4%, Sharpe 0.42, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 6.9%, MDD -38.4%, exposure 59%).
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=41, slow=154 |
6.9% | -38.4% | 0.42 | 0.18 | 3.0x | 25 | 59% |
| ADX / DI 방향성 period=29, threshold=31 |
0.9% | -5.7% | 0.37 | 0.16 | 1.2x | 2 | 2% |
| ROC 모멘텀 n=121, threshold=-0.09 |
5.5% | -50.3% | 0.34 | 0.11 | 2.4x | 85 | 72% |
| EMA 크로스오버 fast=37, slow=143 |
5.1% | -50.0% | 0.34 | 0.10 | 2.3x | 31 | 58% |
| Donchian 채널 돌파 entryN=51, exitN=64 |
3.8% | -46.4% | 0.29 | 0.08 | 1.9x | 34 | 56% |
| 볼린저 밴드 돌파 n=42, k=2.9 |
1.3% | -36.0% | 0.19 | 0.03 | 1.2x | 22 | 10% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=14, mult=4 |
0.7% | -28.7% | 0.16 | 0.02 | 1.1x | 12 | 4% |
| Supertrend period=11, mult=2.6 |
-0.4% | -70.0% | 0.09 | -0.01 | 0.9x | 152 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.1% | -68.8% | 0.06 | -0.02 | 0.8x | 142 | 50% |
| MACD fast=18, slow=58, signal=18 |
-1.3% | -76.9% | 0.05 | -0.02 | 0.8x | 158 | 49% |
| Buy and hold | 4.9% | -72.8% | 0.31 | 0.07 | 2.2x | 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 41-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 41-day average falls below the 154-day average