Trend-Following Backtester · Guide · backtest 한국어
equity · US
Everspin Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Everspin Technologies, Inc.. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.0%, MDD -43.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.3%, drawdown -91.3%).
Sharpe leader (same as main): MACD — CAGR 29.6%, MDD -69.0%, Sharpe 0.70, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.3%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 15.0%, MDD -43.7%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=24, signal=15 |
29.6% | -69.0% | 0.70 | 0.43 | 13.1x | 151 | 50% |
| 볼린저 밴드 돌파 n=18, k=2.6 |
24.7% | -64.2% | 0.66 | 0.38 | 8.9x | 54 | 20% |
| Supertrend period=37, mult=4.3 |
23.2% | -73.1% | 0.63 | 0.32 | 7.9x | 32 | 38% |
| Parabolic SAR step=0.01, maxStep=0.2 |
17.8% | -88.5% | 0.55 | 0.20 | 5.1x | 119 | 45% |
| Donchian 채널 돌파 entryN=33, exitN=85 |
15.3% | -75.7% | 0.53 | 0.20 | 4.1x | 17 | 70% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=29, mult=2.7 |
15.0% | -43.7% | 0.53 | 0.34 | 4.0x | 28 | 9% |
| ADX / DI 방향성 period=12, threshold=7 |
11.3% | -70.6% | 0.46 | 0.16 | 2.9x | 233 | 51% |
| ROC 모멘텀 n=17, threshold=0.09 |
5.1% | -80.8% | 0.34 | 0.06 | 1.6x | 186 | 27% |
| SMA 크로스오버 fast=23, slow=153 |
1.6% | -85.1% | 0.30 | 0.02 | 1.2x | 26 | 48% |
| EMA 크로스오버 fast=56, slow=147 |
0.3% | -89.2% | 0.28 | 0.00 | 1.0x | 17 | 44% |
| Buy and hold | 7.3% | -91.3% | 0.46 | 0.08 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/24) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line