Trend-Following Backtester · Guide · backtest 한국어
equity · US
Keysight Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of Keysight Technologies 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 22.8%, drawdown -45.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.6%, MDD -48.3%, Sharpe 0.80, 67% 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=70, slow=202 |
19.6% | -48.3% | 0.80 | 0.41 | 8.2x | 11 | 67% |
| EMA 크로스오버 fast=26, slow=197 |
17.6% | -45.1% | 0.75 | 0.39 | 6.7x | 15 | 72% |
| Donchian 채널 돌파 entryN=8, exitN=51 |
17.6% | -40.2% | 0.72 | 0.44 | 6.8x | 44 | 84% |
| Supertrend period=19, mult=4.5 |
12.1% | -39.9% | 0.60 | 0.30 | 3.8x | 48 | 62% |
| ROC 모멘텀 n=118, threshold=0.03 |
11.3% | -44.2% | 0.57 | 0.26 | 3.5x | 81 | 61% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=3.2 |
4.5% | -23.3% | 0.37 | 0.19 | 1.7x | 44 | 28% |
| MACD fast=17, slow=34, signal=16 |
3.9% | -34.0% | 0.29 | 0.11 | 1.6x | 148 | 48% |
| Parabolic SAR step=0.03, maxStep=0.12 |
2.4% | -38.2% | 0.22 | 0.06 | 1.3x | 288 | 56% |
| ADX / DI 방향성 period=18, threshold=19 |
1.3% | -42.5% | 0.16 | 0.03 | 1.2x | 110 | 35% |
| 볼린저 밴드 돌파 n=13, k=1.2 |
-1.1% | -49.0% | 0.04 | -0.02 | 0.9x | 250 | 45% |
| Buy and hold | 22.8% | -45.5% | 0.80 | 0.50 | 11.2x | 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 70-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 70-day average falls below the 202-day average