Trend-Following Backtester · Guide · backtest 한국어
equity · US
Diodes Incorporated backtest
10 trend-following strategies were compared on the full daily history of Diodes Incorporated. 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 10.5%, drawdown -92.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -86.8%, Sharpe 0.38, 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=27, slow=189 |
6.8% | -86.8% | 0.38 | 0.08 | 33.0x | 93 | 53% |
| Parabolic SAR step=0.005, maxStep=0.38 |
4.6% | -87.5% | 0.33 | 0.05 | 10.9x | 360 | 48% |
| EMA 크로스오버 fast=55, slow=125 |
4.2% | -93.9% | 0.33 | 0.04 | 8.9x | 87 | 53% |
| Donchian 채널 돌파 entryN=91, exitN=23 |
5.4% | -82.1% | 0.32 | 0.07 | 16.5x | 140 | 29% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
3.6% | -92.4% | 0.29 | 0.04 | 6.7x | 224 | 34% |
| ADX / DI 방향성 period=27, threshold=17 |
-0.1% | -96.8% | 0.20 | -0.00 | 0.9x | 330 | 29% |
| Supertrend period=11, mult=4 |
-5.5% | -99.9% | 0.16 | -0.05 | 0.0x | 296 | 54% |
| MACD fast=25, slow=71, signal=21 |
-5.2% | -99.0% | 0.16 | -0.05 | 0.1x | 486 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=2.6 |
-1.1% | -97.2% | 0.16 | -0.01 | 0.5x | 262 | 26% |
| ROC 모멘텀 n=88, threshold=-0.01 |
-7.7% | -100.0% | 0.13 | -0.08 | 0.0x | 691 | 56% |
| Buy and hold | 10.5% | -92.3% | 0.50 | 0.11 | 207.3x | 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 27-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 27-day average falls below the 189-day average