Trend-Following Backtester · Guide · backtest 한국어
equity · SG
iFAST Corporation Ltd backtest
10 trend-following strategies were compared on the full daily history of iFAST Corporation Ltd. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.3%, MDD -22.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 20.3%, drawdown -64.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.3%, MDD -22.3%, Sharpe 1.10, 14% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.3%, MDD -31.0%, exposure 39%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 20.3%, MDD -22.3%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=2.4 |
20.3% | -22.3% | 1.10 | 0.91 | 8.8x | 48 | 14% |
| Donchian 채널 돌파 entryN=63, exitN=40 |
23.3% | -31.0% | 0.94 | 0.75 | 11.7x | 22 | 39% |
| ADX / DI 방향성 period=35, threshold=20 |
22.5% | -37.8% | 0.93 | 0.60 | 10.8x | 30 | 32% |
| 볼린저 밴드 돌파 n=18, k=3.4 |
11.6% | -11.4% | 0.89 | 1.02 | 3.6x | 8 | 4% |
| ROC 모멘텀 n=69, threshold=0.09 |
20.3% | -44.2% | 0.87 | 0.46 | 8.7x | 86 | 31% |
| Supertrend period=10, mult=4 |
22.6% | -36.7% | 0.87 | 0.62 | 10.9x | 51 | 51% |
| EMA 크로스오버 fast=14, slow=70 |
20.4% | -43.7% | 0.81 | 0.47 | 8.8x | 52 | 48% |
| Parabolic SAR step=0.01, maxStep=0.14 |
19.3% | -48.4% | 0.79 | 0.40 | 7.9x | 120 | 47% |
| SMA 크로스오버 fast=4, slow=98 |
19.1% | -46.7% | 0.77 | 0.41 | 7.8x | 70 | 47% |
| MACD fast=24, slow=28, signal=16 |
16.4% | -56.6% | 0.72 | 0.29 | 5.9x | 112 | 48% |
| Buy and hold | 20.3% | -64.1% | 0.70 | 0.32 | 8.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average