Trend-Following Backtester · Guide · backtest 한국어
equity · CN
IEIT SYSTEMS Co., Ltd.Class A backtest
10 trend-following strategies were compared on the full daily history of IEIT SYSTEMS Co., Ltd.Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.7%, MDD -62.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -83.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.7%, MDD -62.6%, Sharpe 0.46, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 21.3%p (CAGR 10.7%, MDD -62.6%, exposure 49%).
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=43, slow=189 |
10.7% | -62.6% | 0.46 | 0.17 | 14.3x | 35 | 49% |
| EMA 크로스오버 fast=24, slow=210 |
7.6% | -79.5% | 0.39 | 0.10 | 6.8x | 43 | 49% |
| 볼린저 밴드 돌파 n=43, k=1.1 |
6.8% | -58.9% | 0.37 | 0.12 | 5.6x | 184 | 39% |
| Donchian 채널 돌파 entryN=44, exitN=46 |
6.1% | -73.1% | 0.35 | 0.08 | 4.7x | 63 | 51% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=2.9 |
4.7% | -51.5% | 0.31 | 0.09 | 3.3x | 74 | 16% |
| Supertrend period=10, mult=4 |
4.5% | -76.2% | 0.31 | 0.06 | 3.2x | 106 | 51% |
| ADX / DI 방향성 period=29, threshold=17 |
4.6% | -66.7% | 0.30 | 0.07 | 3.2x | 124 | 27% |
| ROC 모멘텀 n=67, threshold=-0.03 |
3.7% | -84.0% | 0.29 | 0.04 | 2.6x | 346 | 56% |
| MACD fast=22, slow=52, signal=19 |
3.2% | -72.4% | 0.27 | 0.04 | 2.3x | 237 | 51% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-2.4% | -83.4% | 0.11 | -0.03 | 0.5x | 598 | 49% |
| Buy and hold | 11.0% | -83.9% | 0.46 | 0.13 | 15.1x | 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 43-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 43-day average falls below the 189-day average