Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cohu, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cohu, 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 9.9%, drawdown -88.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -87.5%, Sharpe 0.40, 53% 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=58, slow=128 |
8.5% | -87.5% | 0.40 | 0.10 | 43.7x | 95 | 53% |
| Supertrend period=25, mult=4.9 |
7.0% | -87.9% | 0.37 | 0.08 | 22.7x | 144 | 53% |
| ADX / DI 방향성 period=37, threshold=20 |
4.8% | -62.4% | 0.34 | 0.08 | 8.9x | 78 | 13% |
| Donchian 채널 돌파 entryN=27, exitN=69 |
4.9% | -94.0% | 0.32 | 0.05 | 9.2x | 130 | 69% |
| 볼린저 밴드 돌파 n=49, k=3 |
4.7% | -58.9% | 0.32 | 0.08 | 8.5x | 102 | 20% |
| EMA 크로스오버 fast=58, slow=83 |
3.5% | -95.3% | 0.28 | 0.04 | 4.9x | 105 | 54% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=3.2 |
2.0% | -72.4% | 0.20 | 0.03 | 2.5x | 158 | 22% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.8% | -96.6% | 0.19 | 0.01 | 1.4x | 368 | 51% |
| ROC 모멘텀 n=133, threshold=0.06 |
0.3% | -97.3% | 0.18 | 0.00 | 1.1x | 427 | 46% |
| MACD fast=22, slow=58, signal=17 |
-0.0% | -84.3% | 0.17 | -0.00 | 1.0x | 474 | 51% |
| Buy and hold | 9.9% | -88.1% | 0.44 | 0.11 | 80.4x | 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 58-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 58-day average falls below the 128-day average