Trend-Following Backtester · Guide · backtest 한국어
equity · US
Applied Materials, Inc. backtest
10 trend-following strategies were compared on the full daily history of Applied Materials, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.4%, MDD -65.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.3%, drawdown -85.8%).
Sharpe leader (same as main): Supertrend — CAGR 19.2%, MDD -71.3%, Sharpe 0.69, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 14.5%p (CAGR 15.4%, MDD -65.4%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=5 |
19.2% | -71.3% | 0.69 | 0.27 | 3479.5x | 142 | 59% |
| EMA 크로스오버 fast=59, slow=69 |
16.8% | -79.0% | 0.61 | 0.21 | 1358.5x | 89 | 61% |
| Donchian 채널 돌파 entryN=61, exitN=76 |
17.0% | -79.9% | 0.61 | 0.21 | 1448.6x | 73 | 68% |
| ROC 모멘텀 n=77, threshold=-0.03 |
15.6% | -84.1% | 0.58 | 0.18 | 816.1x | 441 | 65% |
| SMA 크로스오버 fast=38, slow=129 |
15.4% | -65.4% | 0.57 | 0.23 | 757.8x | 89 | 61% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=15, mult=3.4 |
10.9% | -55.0% | 0.54 | 0.20 | 123.2x | 150 | 30% |
| ADX / DI 방향성 period=38, threshold=9 |
11.4% | -87.2% | 0.50 | 0.13 | 147.8x | 472 | 50% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
9.6% | -73.1% | 0.46 | 0.13 | 69.8x | 282 | 44% |
| MACD fast=30, slow=38, signal=33 |
8.3% | -82.3% | 0.40 | 0.10 | 39.8x | 382 | 51% |
| Parabolic SAR step=0.05, maxStep=0.12 |
-3.3% | -98.9% | 0.07 | -0.03 | 0.2x | 1320 | 54% |
| Buy and hold | 20.3% | -85.8% | 0.62 | 0.24 | 5289.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)