Trend-Following Backtester · Guide · backtest 한국어

equity · US

Coherent Corp. backtest

10 trend-following strategies were compared on the full daily history of Coherent Corp.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.

Data 1987-10-02 ~ 2026-07-31daily bars 9,780 (38.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 18.1%, drawdown -80.9%).

Sharpe leader (same as main): Supertrend — CAGR 13.3%, MDD -84.0%, Sharpe 0.50, 53% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=28, mult=4.1
13.3%-84.0%0.500.16126.6x16453%
EMA 크로스오버
fast=32, slow=256
13.0%-71.8%0.490.18115.7x5959%
SMA 크로스오버
fast=6, slow=95
11.5%-87.0%0.460.1367.8x19256%
Donchian 채널 돌파
entryN=27, exitN=69
10.0%-88.0%0.440.1140.8x10874%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=25, mult=2
7.5%-91.5%0.370.0816.5x19840%
ADX / DI 방향성
period=36, threshold=20
6.5%-80.6%0.360.0811.5x7615%
Parabolic SAR
step=0.015, maxStep=0.28
5.5%-78.2%0.330.077.9x61452%
ROC 모멘텀
n=133, threshold=0.02
4.0%-94.6%0.300.044.6x40556%
볼린저 밴드 돌파
n=37, k=1.9
4.3%-82.1%0.290.055.2x24034%
MACD
fast=18, slow=43, signal=15
-2.5%-95.1%0.14-0.030.4x51652%
Buy and hold18.1%-80.9%0.570.22643.8x1100%
1x 10x 100x 1,000x 1988 1993 1998 2003 2008 2013 2018 2023 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 1988 1993 1998 2003 2008 2013 2018 2023 Buy and holdSupertrend
Supertrend maximum drawdown -84.0% (2000-03-06 → 2003-01-22), recovered after 8,969 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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