Trend-Following Backtester · Guide · backtest 한국어
equity · US
Simulations Plus, Inc. backtest
10 trend-following strategies were compared on the full daily history of Simulations Plus, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 9.3%, drawdown -90.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -75.4%, Sharpe 0.50, 59% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=211 |
13.8% | -75.4% | 0.50 | 0.18 | 43.5x | 35 | 59% |
| EMA 크로스오버 fast=34, slow=213 |
11.2% | -80.1% | 0.45 | 0.14 | 21.9x | 37 | 58% |
| Donchian 채널 돌파 entryN=40, exitN=39 |
8.1% | -83.4% | 0.40 | 0.10 | 9.7x | 91 | 55% |
| Parabolic SAR step=0.015, maxStep=0.16 |
7.1% | -78.8% | 0.39 | 0.09 | 7.4x | 414 | 51% |
| Supertrend period=25, mult=4.4 |
6.7% | -86.9% | 0.37 | 0.08 | 6.5x | 119 | 50% |
| 볼린저 밴드 돌파 n=52, k=2 |
4.3% | -74.0% | 0.31 | 0.06 | 3.4x | 141 | 34% |
| ADX / DI 방향성 period=31, threshold=21 |
4.6% | -54.2% | 0.29 | 0.08 | 3.7x | 73 | 15% |
| ROC 모멘텀 n=149, threshold=0 |
-2.6% | -98.3% | 0.21 | -0.03 | 0.5x | 270 | 57% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=2.2 |
0.3% | -71.5% | 0.21 | 0.00 | 1.1x | 161 | 28% |
| MACD fast=21, slow=55, signal=13 |
-6.0% | -96.0% | 0.19 | -0.06 | 0.2x | 384 | 50% |
| Buy and hold | 9.3% | -90.3% | 0.50 | 0.10 | 13.2x | 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 56-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 56-day average falls below the 211-day average