Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sensient Technologies Corporation backtest
10 trend-following strategies were compared on the full daily history of Sensient Technologies Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -53.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -51.8%, Sharpe 0.38, 63% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=220 |
5.8% | -51.8% | 0.38 | 0.11 | 13.6x | 63 | 63% |
| Donchian 채널 돌파 entryN=9, exitN=72 |
4.3% | -63.8% | 0.29 | 0.07 | 7.1x | 149 | 89% |
| EMA 크로스오버 fast=46, slow=211 |
3.5% | -68.4% | 0.27 | 0.05 | 5.0x | 71 | 65% |
| Supertrend period=9, mult=2.9 |
-0.3% | -73.2% | 0.08 | -0.00 | 0.9x | 373 | 56% |
| ADX / DI 방향성 period=38, threshold=16 |
-0.4% | -56.4% | 0.02 | -0.01 | 0.8x | 174 | 22% |
| ROC 모멘텀 n=100, threshold=-0.03 |
-2.1% | -92.6% | 0.01 | -0.02 | 0.4x | 479 | 70% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=12, mult=2.3 |
-1.8% | -79.0% | -0.05 | -0.02 | 0.4x | 273 | 32% |
| MACD fast=16, slow=27, signal=21 |
-3.2% | -88.2% | -0.07 | -0.04 | 0.2x | 601 | 51% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-3.7% | -93.0% | -0.09 | -0.04 | 0.2x | 619 | 54% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
-0.6% | -35.0% | -0.10 | -0.02 | 0.8x | 18 | 4% |
| Buy and hold | 9.5% | -53.4% | 0.47 | 0.18 | 67.1x | 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 39-day average price crosses above the 220-day average
- Sell — Sell (to cash) when the 39-day average falls below the 220-day average