Trend-Following Backtester · Guide · backtest 한국어
equity · US
Symbotic Inc. backtest
10 trend-following strategies were compared on the full daily history of Symbotic Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.9%, drawdown -72.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.1%, MDD -55.9%, Sharpe 0.58, 50% 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=39, slow=210 |
18.1% | -55.9% | 0.58 | 0.32 | 2.5x | 10 | 50% |
| Donchian 채널 돌파 entryN=91, exitN=37 |
18.1% | -47.7% | 0.57 | 0.38 | 2.5x | 6 | 27% |
| EMA 크로스오버 fast=49, slow=209 |
12.0% | -52.4% | 0.51 | 0.23 | 1.9x | 6 | 51% |
| ROC 모멘텀 n=89, threshold=-0.02 |
10.6% | -67.8% | 0.49 | 0.16 | 1.7x | 54 | 58% |
| 볼린저 밴드 돌파 n=65, k=2.8 |
10.3% | -71.4% | 0.46 | 0.14 | 1.7x | 12 | 27% |
| ADX / DI 방향성 period=34, threshold=22 |
4.4% | -56.7% | 0.31 | 0.08 | 1.3x | 14 | 14% |
| Supertrend period=28, mult=4.7 |
-3.7% | -65.4% | 0.26 | -0.06 | 0.8x | 20 | 46% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-10.6% | -68.6% | 0.13 | -0.15 | 0.5x | 70 | 48% |
| MACD fast=16, slow=39, signal=18 |
-13.8% | -71.4% | 0.12 | -0.19 | 0.4x | 61 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=2.4 |
-12.5% | -74.3% | 0.07 | -0.17 | 0.5x | 22 | 27% |
| Buy and hold | 27.9% | -72.5% | 0.69 | 0.39 | 3.9x | 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 39-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 39-day average falls below the 210-day average