Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Elmos Semiconductor SE backtest
10 trend-following strategies were compared on the full daily history of Elmos Semiconductor SE. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.8%, MDD -59.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.2%, drawdown -97.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.8%, MDD -59.0%, Sharpe 0.51, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 11.8%, MDD -59.0%, 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=28, slow=172 |
11.8% | -59.0% | 0.51 | 0.20 | 19.8x | 45 | 54% |
| ROC 모멘텀 n=141, threshold=0.01 |
10.7% | -66.7% | 0.48 | 0.16 | 15.2x | 179 | 54% |
| EMA 크로스오버 fast=45, slow=140 |
9.0% | -62.9% | 0.43 | 0.14 | 10.1x | 43 | 54% |
| Donchian 채널 돌파 entryN=104, exitN=68 |
8.4% | -60.0% | 0.42 | 0.14 | 8.7x | 36 | 44% |
| Supertrend period=8, mult=4.8 |
8.7% | -69.9% | 0.41 | 0.12 | 9.3x | 90 | 60% |
| ADX / DI 방향성 period=21, threshold=39 |
2.6% | -28.8% | 0.27 | 0.09 | 2.0x | 12 | 2% |
| 볼린저 밴드 돌파 n=33, k=1.4 |
1.8% | -75.1% | 0.20 | 0.02 | 1.6x | 230 | 39% |
| Parabolic SAR step=0.01, maxStep=0.16 |
0.2% | -87.3% | 0.18 | 0.00 | 1.1x | 332 | 52% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=1.4 |
-0.9% | -85.3% | 0.10 | -0.01 | 0.8x | 278 | 34% |
| MACD fast=16, slow=49, signal=18 |
-2.5% | -92.2% | 0.09 | -0.03 | 0.5x | 320 | 50% |
| Buy and hold | 7.2% | -97.8% | 0.39 | 0.07 | 6.5x | 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 28-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 28-day average falls below the 172-day average