Trend-Following Backtester · Guide · backtest 한국어
equity · US
Teradyne, Inc. backtest
10 trend-following strategies were compared on the full daily history of Teradyne, Inc.. 3 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 -71.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.2%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -71.2%, Sharpe 0.54, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 26.1%p (CAGR 13.9%, MDD -71.2%, exposure 57%).
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=7, slow=71 |
13.9% | -71.2% | 0.54 | 0.20 | 1060.6x | 282 | 57% |
| Donchian 채널 돌파 entryN=26, exitN=56 |
13.8% | -83.2% | 0.52 | 0.17 | 1031.6x | 155 | 69% |
| EMA 크로스오버 fast=25, slow=31 |
12.9% | -71.5% | 0.52 | 0.18 | 671.3x | 254 | 57% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=28, mult=1.5 |
11.1% | -70.6% | 0.48 | 0.16 | 274.9x | 264 | 49% |
| ROC 모멘텀 n=54, threshold=0 |
9.2% | -83.5% | 0.42 | 0.11 | 111.5x | 662 | 57% |
| Supertrend period=5, mult=5 |
8.9% | -81.3% | 0.41 | 0.11 | 94.1x | 227 | 56% |
| 볼린저 밴드 돌파 n=76, k=2.1 |
7.4% | -81.7% | 0.39 | 0.09 | 45.5x | 160 | 36% |
| ADX / DI 방향성 period=39, threshold=13 |
6.6% | -84.9% | 0.36 | 0.08 | 30.9x | 328 | 35% |
| MACD fast=24, slow=46, signal=22 |
3.5% | -77.8% | 0.27 | 0.04 | 6.2x | 514 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.1% | -89.4% | 0.20 | 0.01 | 1.8x | 463 | 53% |
| Buy and hold | 11.2% | -97.3% | 0.46 | 0.11 | 287.4x | 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 7-day average price crosses above the 71-day average
- Sell — Sell (to cash) when the 7-day average falls below the 71-day average