Trend-Following Backtester · Guide · backtest 한국어
equity · CN
GoerTek Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of GoerTek Inc. Class A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.5%, MDD -46.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.5%, drawdown -74.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.8%, MDD -51.8%, Sharpe 0.71, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 17.5%, MDD -46.0%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=32, exitN=35 |
20.8% | -51.8% | 0.71 | 0.40 | 31.9x | 52 | 58% |
| EMA 크로스오버 fast=18, slow=21 |
19.4% | -50.9% | 0.69 | 0.38 | 25.8x | 115 | 55% |
| 볼린저 밴드 돌파 n=69, k=1.2 |
17.5% | -46.0% | 0.67 | 0.38 | 19.1x | 66 | 45% |
| Supertrend period=14, mult=4.8 |
18.7% | -50.7% | 0.66 | 0.37 | 23.0x | 48 | 62% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=1.4 |
16.0% | -46.9% | 0.62 | 0.34 | 15.1x | 114 | 45% |
| SMA 크로스오버 fast=13, slow=195 |
16.8% | -61.2% | 0.62 | 0.27 | 17.2x | 40 | 57% |
| ROC 모멘텀 n=36, threshold=-0.04 |
16.0% | -62.7% | 0.59 | 0.26 | 15.2x | 243 | 64% |
| ADX / DI 방향성 period=30, threshold=12 |
13.5% | -64.0% | 0.55 | 0.21 | 10.1x | 168 | 46% |
| MACD fast=11, slow=65, signal=17 |
10.6% | -69.2% | 0.47 | 0.15 | 6.3x | 229 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
10.2% | -56.1% | 0.46 | 0.18 | 5.9x | 143 | 51% |
| Buy and hold | 15.5% | -74.9% | 0.55 | 0.21 | 13.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 32 days
- Sell — Sell when price breaks below the lowest low of the last 35 days