Trend-Following Backtester · Guide · backtest 한국어
equity · US
Qorvo, Inc. backtest
10 trend-following strategies were compared on the full daily history of Qorvo, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.5%, MDD -38.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.2%, drawdown -74.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -44.4%, Sharpe 0.40, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 4.5%, MDD -38.5%, exposure 47%).
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=76, slow=219 |
7.8% | -44.4% | 0.40 | 0.18 | 2.4x | 13 | 59% |
| Supertrend period=26, mult=4.4 |
4.5% | -38.5% | 0.30 | 0.12 | 1.7x | 42 | 47% |
| ADX / DI 방향성 period=24, threshold=35 |
0.9% | -7.3% | 0.28 | 0.12 | 1.1x | 2 | 2% |
| EMA 크로스오버 fast=74, slow=250 |
2.8% | -48.7% | 0.24 | 0.06 | 1.4x | 11 | 52% |
| ROC 모멘텀 n=145, threshold=-0.04 |
2.5% | -48.2% | 0.24 | 0.05 | 1.3x | 91 | 61% |
| Donchian 채널 돌파 entryN=22, exitN=23 |
-0.3% | -62.7% | 0.14 | -0.01 | 1.0x | 62 | 54% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
0.2% | -45.2% | 0.13 | 0.01 | 1.0x | 118 | 40% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.6% | -61.4% | 0.12 | -0.01 | 0.9x | 103 | 49% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=11, mult=2.1 |
0.3% | -42.3% | 0.10 | 0.01 | 1.0x | 58 | 20% |
| MACD fast=9, slow=34, signal=14 |
-5.8% | -74.7% | -0.04 | -0.08 | 0.5x | 203 | 51% |
| Buy and hold | 2.2% | -74.5% | 0.27 | 0.03 | 1.3x | 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 76-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 76-day average falls below the 219-day average