Trend-Following Backtester · Guide · backtest 한국어
equity · US
Synaptics Incorporated backtest
10 trend-following strategies were compared on the full daily history of Synaptics Incorporated. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 21.6%, MDD -49.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.8%, drawdown -85.3%).
Sharpe leader (same as main): MACD — CAGR 21.6%, MDD -49.6%, Sharpe 0.72, 53% exposure.
Return/drawdown alternative: MACD — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 21.6%, MDD -49.6%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=44, slow=48, signal=43 |
21.6% | -49.6% | 0.72 | 0.44 | 120.3x | 122 | 53% |
| Supertrend period=3, mult=4.4 |
10.8% | -69.2% | 0.46 | 0.16 | 12.3x | 108 | 56% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=2.4 |
9.3% | -49.4% | 0.44 | 0.19 | 8.9x | 96 | 32% |
| Donchian 채널 돌파 entryN=11, exitN=47 |
8.8% | -81.3% | 0.41 | 0.11 | 7.9x | 104 | 79% |
| SMA 크로스오버 fast=11, slow=22 |
6.9% | -80.0% | 0.37 | 0.09 | 5.1x | 280 | 54% |
| 볼린저 밴드 돌파 n=37, k=2.3 |
6.5% | -63.4% | 0.36 | 0.10 | 4.7x | 116 | 29% |
| ROC 모멘텀 n=47, threshold=-0.03 |
5.2% | -78.4% | 0.33 | 0.07 | 3.4x | 292 | 60% |
| EMA 크로스오버 fast=33, slow=46 |
3.7% | -67.5% | 0.29 | 0.05 | 2.4x | 101 | 55% |
| ADX / DI 방향성 period=15, threshold=19 |
3.4% | -77.3% | 0.26 | 0.04 | 2.3x | 318 | 38% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.2% | -86.2% | 0.25 | 0.03 | 1.7x | 200 | 54% |
| Buy and hold | 10.8% | -85.3% | 0.46 | 0.13 | 12.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (44/48) crosses above its 43-day signal line
- Sell — Sell when the MACD line crosses back below the signal line