Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stratasys, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Stratasys, Ltd.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -35.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.0%, drawdown -95.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -87.6%, Sharpe 0.43, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 7.9%p (CAGR 6.6%, MDD -35.8%, exposure 8%).
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=50, slow=129 |
9.8% | -87.6% | 0.43 | 0.11 | 19.5x | 62 | 48% |
| 볼린저 밴드 돌파 n=30, k=3.4 |
6.6% | -35.8% | 0.40 | 0.18 | 7.6x | 40 | 8% |
| ADX / DI 방향성 period=37, threshold=24 |
7.0% | -66.2% | 0.40 | 0.11 | 8.6x | 34 | 10% |
| EMA 크로스오버 fast=42, slow=93 |
7.0% | -89.5% | 0.36 | 0.08 | 8.6x | 72 | 46% |
| Donchian 채널 돌파 entryN=59, exitN=47 |
6.6% | -89.1% | 0.36 | 0.07 | 7.6x | 64 | 45% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=2.2 |
6.6% | -80.8% | 0.35 | 0.08 | 7.6x | 140 | 32% |
| Supertrend period=26, mult=4.8 |
5.9% | -86.8% | 0.34 | 0.07 | 6.2x | 106 | 44% |
| ROC 모멘텀 n=94, threshold=0.12 |
4.1% | -90.7% | 0.29 | 0.04 | 3.6x | 290 | 37% |
| MACD fast=18, slow=40, signal=32 |
-2.9% | -94.0% | 0.16 | -0.03 | 0.4x | 312 | 53% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-8.4% | -98.3% | 0.02 | -0.09 | 0.1x | 722 | 49% |
| Buy and hold | 5.0% | -95.5% | 0.38 | 0.05 | 4.7x | 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 50-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 50-day average falls below the 129-day average