Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Sivers Semiconductors AB backtest
10 trend-following strategies were compared on the full daily history of Sivers Semiconductors AB. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 29.5%, MDD -46.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 16.5%, drawdown -95.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 31.8%, MDD -64.9%, Sharpe 0.76, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 29.5%, MDD -46.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=3.1 |
31.8% | -64.9% | 0.76 | 0.49 | 42.3x | 32 | 16% |
| ADX / DI 방향성 period=12, threshold=38 |
29.5% | -46.5% | 0.75 | 0.63 | 33.3x | 52 | 12% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=18, mult=3.7 |
24.6% | -64.7% | 0.68 | 0.38 | 19.7x | 24 | 11% |
| Supertrend period=10, mult=2.4 |
25.8% | -86.2% | 0.65 | 0.30 | 22.5x | 94 | 49% |
| Donchian 채널 돌파 entryN=132, exitN=14 |
21.8% | -53.5% | 0.64 | 0.41 | 14.5x | 18 | 15% |
| MACD fast=18, slow=49, signal=21 |
23.5% | -80.3% | 0.62 | 0.29 | 17.4x | 139 | 48% |
| Parabolic SAR step=0.015, maxStep=0.18 |
23.0% | -78.7% | 0.61 | 0.29 | 16.6x | 222 | 45% |
| SMA 크로스오버 fast=7, slow=18 |
19.7% | -80.9% | 0.57 | 0.24 | 11.5x | 222 | 45% |
| ROC 모멘텀 n=108, threshold=0.1 |
15.2% | -73.9% | 0.50 | 0.21 | 6.8x | 139 | 31% |
| EMA 크로스오버 fast=20, slow=49 |
7.1% | -92.9% | 0.40 | 0.08 | 2.5x | 78 | 45% |
| Buy and hold | 16.5% | -95.5% | 0.58 | 0.17 | 7.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 40-day middle average