Trend-Following Backtester · Guide · backtest 한국어

equity · US

Semtech Corporation backtest

10 trend-following strategies were compared on the full daily history of Semtech Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.4%, MDD -68.3%).

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 10.5%, drawdown -92.7%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -70.7%, Sharpe 0.55, 50% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 13.4%, MDD -68.3%, exposure 33%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=55, slow=182
15.7%-70.7%0.550.22879.5x6750%
Donchian 채널 돌파
entryN=116, exitN=39
13.4%-68.3%0.520.20334.1x7433%
EMA 크로스오버
fast=50, slow=74
10.3%-87.0%0.440.1294.3x10952%
볼린저 밴드 돌파
n=58, k=3.5
6.3%-55.7%0.390.1117.3x329%
Supertrend
period=9, mult=5
5.1%-98.8%0.340.0510.1x16058%
MACD
fast=40, slow=69, signal=30
4.3%-97.0%0.320.047.2x30253%
ROC 모멘텀
n=108, threshold=0.03
4.9%-95.0%0.320.059.0x39749%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=20, mult=3
4.6%-84.2%0.300.058.1x16227%
ADX / DI 방향성
period=27, threshold=12
2.6%-91.2%0.260.033.3x50041%
Parabolic SAR
step=0.005, maxStep=0.36
-1.4%-95.4%0.19-0.010.5x36250%
Buy and hold10.5%-92.7%0.480.11101.3x1100%
0.1 1x 10x 100x 1,000x 1981 1987 1993 1999 2005 2011 2017 2023 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -70% -93% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -70.7% (2018-09-18 → 2024-08-07), recovered after 2,803 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next