Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SHIFT, Inc. backtest
10 trend-following strategies were compared on the full daily history of SHIFT, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 27.8%, MDD -42.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 21.0%, drawdown -75.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.8%, MDD -42.8%, Sharpe 0.80, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 27.8%, MDD -42.8%, exposure 60%).
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=42, slow=203 |
27.8% | -42.8% | 0.80 | 0.65 | 17.7x | 14 | 60% |
| Supertrend period=29, mult=4.9 |
26.2% | -51.0% | 0.76 | 0.51 | 15.3x | 33 | 55% |
| EMA 크로스오버 fast=55, slow=212 |
21.9% | -50.0% | 0.67 | 0.44 | 10.1x | 10 | 67% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
17.5% | -57.2% | 0.65 | 0.31 | 6.6x | 39 | 35% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=40, mult=2.8 |
15.2% | -42.5% | 0.61 | 0.36 | 5.2x | 47 | 30% |
| MACD fast=27, slow=86, signal=15 |
17.2% | -58.4% | 0.59 | 0.29 | 6.4x | 93 | 54% |
| Donchian 채널 돌파 entryN=34, exitN=18 |
15.8% | -44.5% | 0.58 | 0.35 | 5.6x | 49 | 41% |
| ROC 모멘텀 n=52, threshold=0.08 |
15.5% | -45.6% | 0.58 | 0.34 | 5.4x | 135 | 43% |
| ADX / DI 방향성 period=30, threshold=32 |
9.0% | -24.4% | 0.54 | 0.37 | 2.7x | 6 | 6% |
| Parabolic SAR step=0.02, maxStep=0.12 |
3.3% | -56.1% | 0.29 | 0.06 | 1.5x | 227 | 51% |
| Buy and hold | 21.0% | -75.6% | 0.62 | 0.28 | 9.4x | 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 42-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 42-day average falls below the 203-day average