Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cirrus Logic, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cirrus Logic, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.4%, MDD -56.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -97.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -82.9%, Sharpe 0.50, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 14.6%p (CAGR 7.4%, MDD -56.5%, exposure 22%).
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=27, slow=65 |
12.8% | -82.9% | 0.50 | 0.15 | 88.6x | 144 | 53% |
| Supertrend period=9, mult=5 |
9.3% | -89.2% | 0.42 | 0.10 | 26.8x | 118 | 52% |
| ADX / DI 방향성 period=32, threshold=18 |
7.4% | -56.5% | 0.40 | 0.13 | 14.1x | 140 | 22% |
| EMA 크로스오버 fast=37, slow=88 |
7.2% | -78.2% | 0.37 | 0.09 | 13.3x | 84 | 53% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
6.9% | -77.1% | 0.37 | 0.09 | 11.9x | 158 | 34% |
| Donchian 채널 돌파 entryN=36, exitN=73 |
6.2% | -91.3% | 0.36 | 0.07 | 9.2x | 84 | 65% |
| ROC 모멘텀 n=45, threshold=0.06 |
6.7% | -70.6% | 0.36 | 0.10 | 11.2x | 494 | 42% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=3.6 |
6.3% | -66.2% | 0.36 | 0.09 | 9.6x | 102 | 26% |
| MACD fast=8, slow=56, signal=19 |
2.6% | -86.0% | 0.28 | 0.03 | 2.6x | 538 | 53% |
| Parabolic SAR step=0.01, maxStep=0.26 |
2.3% | -88.0% | 0.26 | 0.03 | 2.3x | 486 | 52% |
| Buy and hold | 8.5% | -97.5% | 0.44 | 0.09 | 20.8x | 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 27-day average price crosses above the 65-day average
- Sell — Sell (to cash) when the 27-day average falls below the 65-day average