Trend-Following Backtester · Guide · backtest 한국어
equity · US
Entegris, Inc. backtest
10 trend-following strategies were compared on the full daily history of Entegris, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.0%, MDD -74.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.5%, drawdown -97.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -74.2%, Sharpe 0.45, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 10.0%, MDD -74.2%, exposure 60%).
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=59, slow=105 |
10.0% | -74.2% | 0.45 | 0.14 | 12.0x | 65 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=67 |
9.6% | -89.2% | 0.43 | 0.11 | 10.9x | 76 | 86% |
| EMA 크로스오버 fast=50, slow=58 |
7.1% | -72.4% | 0.37 | 0.10 | 6.0x | 55 | 61% |
| ROC 모멘텀 n=59, threshold=-0.03 |
3.9% | -75.7% | 0.29 | 0.05 | 2.7x | 350 | 65% |
| Supertrend period=23, mult=4.8 |
0.2% | -77.5% | 0.17 | 0.00 | 1.0x | 94 | 50% |
| 볼린저 밴드 돌파 n=53, k=3 |
1.5% | -51.4% | 0.17 | 0.03 | 1.5x | 42 | 14% |
| MACD fast=13, slow=55, signal=18 |
-1.5% | -93.0% | 0.15 | -0.02 | 0.7x | 334 | 51% |
| ADX / DI 방향성 period=29, threshold=13 |
-0.3% | -67.9% | 0.13 | -0.00 | 0.9x | 218 | 33% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-2.2% | -92.1% | 0.12 | -0.02 | 0.6x | 386 | 54% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=27, mult=2.5 |
-0.8% | -71.3% | 0.09 | -0.01 | 0.8x | 122 | 27% |
| Buy and hold | 9.5% | -97.2% | 0.44 | 0.10 | 10.6x | 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 59-day average price crosses above the 105-day average
- Sell — Sell (to cash) when the 59-day average falls below the 105-day average