Trend-Following Backtester · Guide · backtest 한국어
equity · US
SiTime Corporation backtest
10 trend-following strategies were compared on the full daily history of SiTime Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 74.4%, drawdown -78.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 42.6%, MDD -44.6%, Sharpe 0.96, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 52.0%, MDD -77.5%, exposure 83%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=65, k=1.4 |
42.6% | -44.6% | 0.96 | 0.95 | 11.1x | 26 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=66 |
52.0% | -77.5% | 0.95 | 0.67 | 17.1x | 19 | 83% |
| MACD fast=24, slow=52, signal=31 |
41.9% | -65.8% | 0.94 | 0.64 | 10.7x | 42 | 51% |
| ROC 모멘텀 n=106, threshold=0.17 |
43.2% | -52.4% | 0.94 | 0.82 | 11.4x | 47 | 49% |
| EMA 크로스오버 fast=7, slow=41 |
44.8% | -72.3% | 0.93 | 0.62 | 12.3x | 50 | 62% |
| SMA 크로스오버 fast=32, slow=132 |
45.0% | -67.8% | 0.93 | 0.66 | 12.4x | 13 | 59% |
| Supertrend period=25, mult=2.4 |
42.0% | -65.8% | 0.92 | 0.64 | 10.8x | 64 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=0.6 |
40.5% | -66.1% | 0.89 | 0.61 | 10.0x | 52 | 57% |
| ADX / DI 방향성 period=39, threshold=11 |
40.7% | -62.4% | 0.89 | 0.65 | 10.1x | 64 | 54% |
| Parabolic SAR step=0.03, maxStep=0.26 |
24.6% | -76.2% | 0.67 | 0.32 | 4.4x | 186 | 53% |
| Buy and hold | 74.4% | -78.1% | 1.09 | 0.95 | 43.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 65-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 65-day middle average