Trend-Following Backtester · Guide · backtest 한국어
equity · US
STRATTEC SECURITY CORPORATION backtest
10 trend-following strategies were compared on the full daily history of STRATTEC SECURITY CORPORATION. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.9%, MDD -45.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.3%, drawdown -90.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -45.8%, Sharpe 0.57, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 13.9%, MDD -45.8%, exposure 51%).
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=77, slow=237 |
13.9% | -45.8% | 0.57 | 0.30 | 59.2x | 25 | 51% |
| EMA 크로스오버 fast=55, slow=187 |
9.9% | -56.7% | 0.46 | 0.17 | 19.2x | 37 | 53% |
| Donchian 채널 돌파 entryN=87, exitN=73 |
5.0% | -69.8% | 0.31 | 0.07 | 4.7x | 45 | 51% |
| 볼린저 밴드 돌파 n=60, k=1.6 |
4.2% | -58.6% | 0.29 | 0.07 | 3.6x | 141 | 35% |
| ADX / DI 방향성 period=21, threshold=37 |
2.3% | -30.9% | 0.27 | 0.08 | 2.1x | 36 | 8% |
| ROC 모멘텀 n=148, threshold=-0.04 |
2.9% | -84.6% | 0.25 | 0.03 | 2.5x | 299 | 59% |
| Supertrend period=26, mult=5 |
-0.1% | -79.8% | 0.15 | -0.00 | 1.0x | 97 | 50% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=18, mult=2 |
0.2% | -74.6% | 0.14 | 0.00 | 1.1x | 149 | 37% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-1.7% | -87.8% | 0.11 | -0.02 | 0.6x | 717 | 52% |
| MACD fast=33, slow=59, signal=12 |
-6.0% | -94.7% | -0.02 | -0.06 | 0.1x | 335 | 47% |
| Buy and hold | 6.3% | -90.5% | 0.36 | 0.07 | 6.7x | 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 77-day average price crosses above the 237-day average
- Sell — Sell (to cash) when the 77-day average falls below the 237-day average