Trend-Following Backtester · Guide · backtest 한국어
equity · DE
SMA Solar Technology AG backtest
10 trend-following strategies were compared on the full daily history of SMA Solar Technology AG. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -48.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -89.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.2%, MDD -50.7%, Sharpe 0.68, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.4%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR 1.1%, MDD -48.2%, exposure 12%).
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=55, slow=167 |
22.2% | -50.7% | 0.68 | 0.44 | 36.4x | 21 | 52% |
| ROC 모멘텀 n=123, threshold=0.14 |
17.2% | -52.9% | 0.60 | 0.32 | 17.2x | 103 | 40% |
| Donchian 채널 돌파 entryN=99, exitN=86 |
17.5% | -63.1% | 0.59 | 0.28 | 18.0x | 19 | 50% |
| EMA 크로스오버 fast=55, slow=113 |
16.9% | -61.5% | 0.58 | 0.27 | 16.4x | 19 | 48% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
5.5% | -49.5% | 0.34 | 0.11 | 2.6x | 22 | 12% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=11, mult=2 |
3.8% | -52.0% | 0.27 | 0.07 | 1.9x | 116 | 24% |
| Supertrend period=14, mult=5 |
1.8% | -90.6% | 0.26 | 0.02 | 1.4x | 58 | 49% |
| ADX / DI 방향성 period=23, threshold=25 |
1.1% | -48.2% | 0.16 | 0.02 | 1.2x | 50 | 12% |
| MACD fast=18, slow=47, signal=18 |
-5.2% | -91.8% | 0.10 | -0.06 | 0.4x | 196 | 55% |
| Parabolic SAR step=0.05, maxStep=0.22 |
-6.0% | -90.3% | 0.05 | -0.07 | 0.3x | 604 | 50% |
| Buy and hold | -1.2% | -89.9% | 0.29 | -0.01 | 0.8x | 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 55-day average price crosses above the 167-day average
- Sell — Sell (to cash) when the 55-day average falls below the 167-day average