Trend-Following Backtester · Guide · backtest 한국어
equity · US
Analog Devices, Inc. backtest
10 trend-following strategies were compared on the full daily history of Analog Devices, Inc.. 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 14.4%, drawdown -84.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -72.8%, Sharpe 0.53, 60% 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=76, slow=86 |
12.7% | -72.8% | 0.53 | 0.17 | 256.5x | 259 | 60% |
| Donchian 채널 돌파 entryN=29, exitN=77 |
11.4% | -82.7% | 0.48 | 0.14 | 148.7x | 89 | 80% |
| EMA 크로스오버 fast=26, slow=154 |
9.6% | -64.2% | 0.45 | 0.15 | 70.6x | 85 | 64% |
| Supertrend period=9, mult=4.7 |
5.6% | -84.3% | 0.33 | 0.07 | 12.6x | 174 | 57% |
| ROC 모멘텀 n=109, threshold=-0.03 |
4.7% | -78.6% | 0.30 | 0.06 | 8.4x | 419 | 67% |
| ADX / DI 방향성 period=35, threshold=25 |
2.2% | -47.2% | 0.25 | 0.05 | 2.8x | 32 | 5% |
| 볼린저 밴드 돌파 n=41, k=2.5 |
2.6% | -67.5% | 0.23 | 0.04 | 3.3x | 172 | 25% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=2.6 |
0.9% | -83.0% | 0.14 | 0.01 | 1.5x | 238 | 27% |
| MACD fast=23, slow=24, signal=14 |
-0.1% | -94.0% | 0.14 | -0.00 | 0.9x | 634 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.9% | -97.2% | 0.04 | -0.03 | 0.3x | 628 | 54% |
| Buy and hold | 14.4% | -84.1% | 0.53 | 0.17 | 502.1x | 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 76-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 76-day average falls below the 86-day average