Trend-Following Backtester · Guide · backtest 한국어
equity · US
Daktronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Daktronics, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.7%, MDD -67.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.1%, drawdown -95.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -70.7%, Sharpe 0.50, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 11.7%, MDD -67.5%, exposure 51%).
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=39, slow=284 |
12.6% | -70.7% | 0.50 | 0.18 | 46.6x | 29 | 50% |
| EMA 크로스오버 fast=56, slow=191 |
11.7% | -67.5% | 0.48 | 0.17 | 36.3x | 33 | 51% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
2.1% | -31.0% | 0.27 | 0.07 | 2.0x | 28 | 3% |
| Donchian 채널 돌파 entryN=53, exitN=55 |
2.6% | -85.3% | 0.26 | 0.03 | 2.3x | 78 | 52% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=19, mult=3.6 |
2.4% | -65.4% | 0.23 | 0.04 | 2.2x | 82 | 24% |
| ADX / DI 방향성 period=39, threshold=21 |
1.8% | -57.7% | 0.20 | 0.03 | 1.8x | 48 | 16% |
| MACD fast=25, slow=56, signal=30 |
-0.6% | -92.3% | 0.18 | -0.01 | 0.8x | 243 | 51% |
| Supertrend period=35, mult=4.9 |
-0.8% | -95.2% | 0.18 | -0.01 | 0.8x | 98 | 46% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.8% | -94.6% | 0.17 | -0.01 | 0.8x | 386 | 49% |
| ROC 모멘텀 n=147, threshold=0.09 |
-0.8% | -85.1% | 0.16 | -0.01 | 0.8x | 252 | 41% |
| Buy and hold | 9.1% | -95.6% | 0.44 | 0.10 | 17.0x | 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 39-day average price crosses above the 284-day average
- Sell — Sell (to cash) when the 39-day average falls below the 284-day average