Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Superconductor Corporation backtest
10 trend-following strategies were compared on the full daily history of American Superconductor Corporation. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -77.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.9%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -85.3%, Sharpe 0.41, 47% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 7.7%, MDD -77.2%, exposure 44%).
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=73, slow=199 |
8.6% | -85.3% | 0.41 | 0.10 | 17.2x | 43 | 47% |
| Donchian 채널 돌파 entryN=101, exitN=111 |
7.7% | -78.8% | 0.39 | 0.10 | 12.9x | 33 | 46% |
| EMA 크로스오버 fast=35, slow=183 |
7.7% | -77.2% | 0.39 | 0.10 | 12.9x | 52 | 44% |
| Supertrend period=12, mult=3.8 |
3.2% | -96.0% | 0.31 | 0.03 | 3.0x | 152 | 49% |
| ROC 모멘텀 n=126, threshold=0.1 |
3.8% | -85.5% | 0.31 | 0.04 | 3.6x | 280 | 39% |
| 볼린저 밴드 돌파 n=58, k=2 |
4.2% | -89.8% | 0.31 | 0.05 | 4.1x | 132 | 31% |
| MACD fast=17, slow=69, signal=21 |
0.2% | -98.7% | 0.28 | 0.00 | 1.1x | 306 | 53% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=2.3 |
2.8% | -91.3% | 0.27 | 0.03 | 2.6x | 162 | 27% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-3.9% | -99.3% | 0.19 | -0.04 | 0.3x | 664 | 48% |
| ADX / DI 방향성 period=16, threshold=14 |
-5.6% | -98.5% | 0.14 | -0.06 | 0.1x | 518 | 46% |
| Buy and hold | -3.9% | -99.6% | 0.32 | -0.04 | 0.3x | 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 73-day average price crosses above the 199-day average
- Sell — Sell (to cash) when the 73-day average falls below the 199-day average