Trend-Following Backtester · Guide · backtest 한국어
equity · US
Silicon Laboratories, Inc. backtest
10 trend-following strategies were compared on the full daily history of Silicon Laboratories, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.9%, MDD -59.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.4%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -59.1%, Sharpe 0.31, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 4.9%, MDD -59.1%, exposure 57%).
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=42, slow=122 |
4.9% | -59.1% | 0.31 | 0.08 | 3.6x | 59 | 57% |
| EMA 크로스오버 fast=57, slow=88 |
4.2% | -69.8% | 0.28 | 0.06 | 3.0x | 53 | 54% |
| ADX / DI 방향성 period=32, threshold=35 |
0.2% | -1.3% | 0.28 | 0.13 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=88, threshold=-0.1 |
2.2% | -82.4% | 0.24 | 0.03 | 1.8x | 203 | 72% |
| Donchian 채널 돌파 entryN=13, exitN=77 |
0.2% | -83.2% | 0.23 | 0.00 | 1.1x | 75 | 86% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=8, mult=3.8 |
1.4% | -50.8% | 0.17 | 0.03 | 1.4x | 46 | 15% |
| Supertrend period=12, mult=4.9 |
-1.4% | -86.7% | 0.14 | -0.02 | 0.7x | 83 | 57% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
0.6% | -46.9% | 0.12 | 0.01 | 1.2x | 66 | 20% |
| MACD fast=17, slow=33, signal=12 |
-5.9% | -85.2% | -0.00 | -0.07 | 0.2x | 370 | 50% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-6.5% | -92.2% | -0.03 | -0.07 | 0.2x | 474 | 52% |
| Buy and hold | 4.4% | -89.3% | 0.34 | 0.05 | 3.1x | 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 42-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 42-day average falls below the 122-day average