Trend-Following Backtester · Guide · backtest 한국어
equity · KR
제주반도체 backtest
10 trend-following strategies were compared on the full daily history of 제주반도체. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.1%, MDD -47.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -97.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 27.6%, MDD -70.5%, Sharpe 0.77, 33% exposure.
CAGR reference leader: MACD — CAGR 28.4%, MDD -84.1%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.3%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 22.1%, MDD -47.3%, exposure 20%).
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=16, k=1.4 |
27.6% | -70.5% | 0.77 | 0.39 | 191.2x | 274 | 33% |
| MACD fast=13, slow=52, signal=12 |
28.4% | -84.1% | 0.75 | 0.34 | 221.5x | 257 | 51% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=15, mult=1.9 |
22.1% | -47.3% | 0.70 | 0.47 | 74.3x | 110 | 20% |
| Donchian 채널 돌파 entryN=88, exitN=7 |
16.8% | -59.9% | 0.65 | 0.28 | 28.7x | 52 | 13% |
| Parabolic SAR step=0.01, maxStep=0.12 |
20.0% | -68.9% | 0.62 | 0.29 | 51.3x | 239 | 46% |
| ROC 모멘텀 n=13, threshold=-0.01 |
19.1% | -80.9% | 0.60 | 0.24 | 43.7x | 524 | 49% |
| ADX / DI 방향성 period=9, threshold=35 |
16.3% | -54.2% | 0.58 | 0.30 | 25.8x | 178 | 21% |
| Supertrend period=22, mult=1.7 |
15.5% | -73.4% | 0.54 | 0.21 | 22.4x | 295 | 42% |
| EMA 크로스오버 fast=9, slow=81 |
13.9% | -68.7% | 0.51 | 0.20 | 16.6x | 98 | 40% |
| SMA 크로스오버 fast=12, slow=105 |
9.9% | -88.4% | 0.43 | 0.11 | 7.6x | 79 | 41% |
| Buy and hold | 4.2% | -97.6% | 0.39 | 0.04 | 2.5x | 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 16-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 16-day middle average