Trend-Following Backtester · Guide · backtest 한국어
equity · US
SS&C Technologies Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of SS&C Technologies Holdings, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -49.3%).
Sharpe leader (same as main): Supertrend — CAGR 11.4%, MDD -33.6%, Sharpe 0.65, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.4%, MDD -41.3%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.4 |
11.4% | -33.6% | 0.65 | 0.34 | 5.9x | 55 | 62% |
| Donchian 채널 돌파 entryN=14, exitN=60 |
13.4% | -41.3% | 0.65 | 0.32 | 7.8x | 43 | 83% |
| SMA 크로스오버 fast=12, slow=64 |
10.4% | -34.7% | 0.59 | 0.30 | 5.1x | 73 | 61% |
| MACD fast=22, slow=67, signal=33 |
8.9% | -30.3% | 0.56 | 0.29 | 4.1x | 115 | 50% |
| EMA 크로스오버 fast=6, slow=117 |
8.9% | -42.4% | 0.53 | 0.21 | 4.1x | 61 | 68% |
| ROC 모멘텀 n=123, threshold=-0.09 |
9.6% | -50.4% | 0.51 | 0.19 | 4.5x | 73 | 80% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
3.4% | -16.3% | 0.45 | 0.21 | 1.7x | 17 | 11% |
| ADX / DI 방향성 period=27, threshold=32 |
1.1% | -5.5% | 0.39 | 0.20 | 1.2x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=2.5 |
4.3% | -34.2% | 0.35 | 0.13 | 2.0x | 71 | 41% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.9% | -39.4% | 0.34 | 0.12 | 2.2x | 143 | 58% |
| Buy and hold | 15.7% | -49.3% | 0.65 | 0.32 | 10.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)