Trend-Following Backtester · Guide · backtest 한국어
equity · US
SolarEdge Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of SolarEdge Technologies, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.4%, MDD -57.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.2%, drawdown -97.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.9%, MDD -72.6%, Sharpe 0.72, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.7%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 10.4%, MDD -57.4%, exposure 34%).
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=55, slow=143 |
27.9% | -72.6% | 0.72 | 0.38 | 16.3x | 17 | 53% |
| Donchian 채널 돌파 entryN=79, exitN=68 |
24.8% | -76.8% | 0.68 | 0.32 | 12.4x | 11 | 47% |
| EMA 크로스오버 fast=52, slow=96 |
22.1% | -72.1% | 0.64 | 0.31 | 9.6x | 19 | 53% |
| ROC 모멘텀 n=108, threshold=0.08 |
21.5% | -75.2% | 0.64 | 0.29 | 9.1x | 102 | 47% |
| Supertrend period=31, mult=4.5 |
13.9% | -77.8% | 0.51 | 0.18 | 4.4x | 34 | 46% |
| ADX / DI 방향성 period=39, threshold=12 |
10.4% | -57.4% | 0.44 | 0.18 | 3.1x | 88 | 34% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=14, mult=1.5 |
-1.7% | -87.7% | 0.16 | -0.02 | 0.8x | 98 | 29% |
| 볼린저 밴드 돌파 n=38, k=1.2 |
-6.3% | -90.1% | 0.08 | -0.07 | 0.5x | 92 | 37% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-14.2% | -92.6% | -0.05 | -0.15 | 0.2x | 306 | 51% |
| MACD fast=15, slow=30, signal=8 |
-17.4% | -95.2% | -0.09 | -0.18 | 0.1x | 214 | 50% |
| Buy and hold | 6.2% | -97.2% | 0.45 | 0.06 | 2.0x | 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 55-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 55-day average falls below the 143-day average