Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Olympic Circuit Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Olympic Circuit Technology Co., Ltd. Class A. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -25.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.3%, drawdown -67.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.8%, MDD -25.6%, Sharpe 0.54, 9% exposure.
CAGR reference leader: MACD — CAGR 13.3%, MDD -54.2%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 42.3%p (CAGR 8.8%, MDD -25.6%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=3.4 |
8.8% | -25.6% | 0.54 | 0.34 | 2.2x | 10 | 9% |
| MACD fast=17, slow=46, signal=18 |
13.3% | -54.2% | 0.52 | 0.24 | 3.2x | 91 | 51% |
| Donchian 채널 돌파 entryN=91, exitN=75 |
12.8% | -48.0% | 0.51 | 0.27 | 3.1x | 10 | 53% |
| EMA 크로스오버 fast=30, slow=149 |
10.5% | -58.3% | 0.45 | 0.18 | 2.5x | 14 | 55% |
| SMA 크로스오버 fast=24, slow=192 |
9.8% | -55.0% | 0.44 | 0.18 | 2.4x | 16 | 54% |
| ROC 모멘텀 n=83, threshold=-0.01 |
5.9% | -54.2% | 0.35 | 0.11 | 1.7x | 96 | 54% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-0.9% | -67.2% | 0.16 | -0.01 | 0.9x | 202 | 47% |
| ADX / DI 방향성 period=11, threshold=33 |
0.6% | -44.9% | 0.16 | 0.01 | 1.1x | 64 | 19% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=19, mult=3.1 |
-0.3% | -55.2% | 0.15 | -0.01 | 1.0x | 30 | 25% |
| Supertrend period=19, mult=4.7 |
-3.5% | -65.4% | 0.13 | -0.05 | 0.7x | 32 | 60% |
| Buy and hold | 9.3% | -67.9% | 0.44 | 0.14 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 34-day middle average