Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aviat Networks, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aviat Networks, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -30.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.2%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -91.7%, Sharpe 0.31, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 7.3%p (CAGR 1.4%, MDD -30.2%, exposure 3%).
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=37, slow=156 |
6.2% | -91.7% | 0.31 | 0.07 | 10.7x | 68 | 46% |
| EMA 크로스오버 fast=47, slow=165 |
3.1% | -84.3% | 0.26 | 0.04 | 3.3x | 64 | 42% |
| Donchian 채널 돌파 entryN=90, exitN=46 |
3.2% | -85.5% | 0.25 | 0.04 | 3.5x | 66 | 37% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
5.6% | -64.0% | 0.24 | 0.09 | 8.5x | 86 | 18% |
| ROC 모멘텀 n=134, threshold=0.07 |
1.4% | -92.8% | 0.23 | 0.02 | 1.8x | 370 | 39% |
| Supertrend period=13, mult=2.7 |
-0.0% | -96.1% | 0.22 | -0.00 | 1.0x | 271 | 50% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=18, mult=3.5 |
2.5% | -75.5% | 0.18 | 0.03 | 2.6x | 84 | 16% |
| ADX / DI 방향성 period=20, threshold=37 |
1.4% | -30.2% | 0.18 | 0.05 | 1.7x | 30 | 3% |
| MACD fast=29, slow=44, signal=23 |
-7.2% | -97.4% | 0.14 | -0.07 | 0.1x | 335 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-8.1% | -97.9% | 0.11 | -0.08 | 0.0x | 283 | 47% |
| Buy and hold | -2.2% | -98.9% | 0.32 | -0.02 | 0.4x | 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 37-day average price crosses above the 156-day average
- Sell — Sell (to cash) when the 37-day average falls below the 156-day average