Trend-Following Backtester · Guide · backtest 한국어
equity · US
PDF Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of PDF Solutions, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.6%, MDD -48.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.3%, drawdown -95.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -48.8%, Sharpe 0.53, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 12.6%, MDD -48.8%, exposure 50%).
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=8, slow=215 |
12.6% | -48.8% | 0.53 | 0.26 | 19.5x | 39 | 50% |
| ROC 모멘텀 n=81, threshold=-0.02 |
11.2% | -70.8% | 0.47 | 0.16 | 14.1x | 211 | 58% |
| Donchian 채널 돌파 entryN=14, exitN=65 |
9.0% | -92.9% | 0.42 | 0.10 | 8.7x | 75 | 77% |
| EMA 크로스오버 fast=39, slow=65 |
7.9% | -75.5% | 0.39 | 0.11 | 6.8x | 55 | 54% |
| Supertrend period=14, mult=4.6 |
7.4% | -87.4% | 0.38 | 0.09 | 6.0x | 82 | 54% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=1.2 |
6.5% | -56.0% | 0.36 | 0.12 | 4.9x | 190 | 45% |
| ADX / DI 방향성 period=30, threshold=12 |
5.0% | -65.1% | 0.31 | 0.08 | 3.4x | 250 | 39% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
3.9% | -70.0% | 0.28 | 0.06 | 2.6x | 126 | 42% |
| MACD fast=15, slow=53, signal=19 |
-2.4% | -88.0% | 0.12 | -0.03 | 0.5x | 274 | 52% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-4.0% | -84.8% | 0.08 | -0.05 | 0.4x | 550 | 51% |
| Buy and hold | 4.3% | -95.5% | 0.35 | 0.05 | 2.9x | 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 8-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 8-day average falls below the 215-day average