Trend-Following Backtester · Guide · backtest 한국어
equity · US
Silicom Ltd backtest
10 trend-following strategies were compared on the full daily history of Silicom Ltd. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.2%, MDD -66.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.4%, drawdown -98.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -94.8%, Sharpe 0.50, 84% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.7%, MDD -83.4%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 4.0%p (CAGR 6.2%, MDD -66.6%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=85 |
12.5% | -94.8% | 0.50 | 0.13 | 45.7x | 89 | 84% |
| SMA 크로스오버 fast=50, slow=158 |
13.7% | -83.4% | 0.48 | 0.16 | 64.6x | 59 | 50% |
| EMA 크로스오버 fast=28, slow=142 |
13.4% | -84.3% | 0.47 | 0.16 | 58.3x | 69 | 47% |
| ROC 모멘텀 n=148, threshold=0.14 |
12.9% | -78.6% | 0.47 | 0.16 | 51.9x | 205 | 40% |
| Parabolic SAR step=0.005, maxStep=0.2 |
5.3% | -86.3% | 0.36 | 0.06 | 5.4x | 230 | 48% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
7.3% | -83.7% | 0.36 | 0.09 | 9.8x | 116 | 30% |
| ADX / DI 방향성 period=30, threshold=24 |
6.2% | -66.6% | 0.32 | 0.09 | 7.1x | 68 | 13% |
| Supertrend period=14, mult=4.7 |
2.2% | -92.9% | 0.32 | 0.02 | 2.1x | 133 | 49% |
| MACD fast=14, slow=29, signal=19 |
-1.0% | -97.1% | 0.28 | -0.01 | 0.7x | 428 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=3.6 |
1.9% | -88.0% | 0.25 | 0.02 | 1.8x | 100 | 25% |
| Buy and hold | 6.4% | -98.8% | 0.47 | 0.07 | 7.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 85 days