Trend-Following Backtester · Guide · backtest 한국어
equity · US
SEI Investments Company backtest
10 trend-following strategies were compared on the full daily history of SEI Investments Company. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.8%, MDD -52.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -71.5%).
Sharpe leader (same as main): Supertrend — CAGR 11.8%, MDD -52.0%, Sharpe 0.58, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 19.5%p (CAGR 11.8%, MDD -52.0%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=3.2 |
11.8% | -52.0% | 0.58 | 0.23 | 157.8x | 265 | 56% |
| Parabolic SAR step=0.01, maxStep=0.16 |
10.4% | -70.9% | 0.52 | 0.15 | 88.5x | 569 | 56% |
| SMA 크로스오버 fast=39, slow=84 |
9.5% | -58.3% | 0.49 | 0.16 | 62.8x | 143 | 59% |
| Donchian 채널 돌파 entryN=19, exitN=60 |
10.3% | -67.4% | 0.49 | 0.15 | 84.9x | 145 | 78% |
| MACD fast=27, slow=41, signal=39 |
8.4% | -56.1% | 0.46 | 0.15 | 39.0x | 317 | 50% |
| 볼린저 밴드 돌파 n=27, k=1.1 |
6.6% | -56.4% | 0.40 | 0.12 | 18.0x | 503 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=26, mult=1.2 |
6.5% | -63.6% | 0.40 | 0.10 | 17.3x | 411 | 45% |
| ROC 모멘텀 n=139, threshold=-0.11 |
7.2% | -74.2% | 0.38 | 0.10 | 23.3x | 277 | 82% |
| EMA 크로스오버 fast=8, slow=190 |
6.0% | -65.7% | 0.35 | 0.09 | 14.0x | 161 | 65% |
| ADX / DI 방향성 period=6, threshold=37 |
4.5% | -89.5% | 0.34 | 0.05 | 7.3x | 725 | 29% |
| Buy and hold | 15.0% | -71.5% | 0.57 | 0.21 | 580.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)