Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Grand Process Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Grand Process Technology Corporation. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 29.2%, MDD -42.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 23.2%, drawdown -72.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.7%, MDD -53.8%, Sharpe 0.92, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 29.2%, MDD -42.9%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=64, threshold=0.05 |
29.7% | -53.8% | 0.92 | 0.55 | 58.1x | 140 | 44% |
| Donchian 채널 돌파 entryN=57, exitN=76 |
29.2% | -42.9% | 0.88 | 0.68 | 54.7x | 18 | 53% |
| SMA 크로스오버 fast=8, slow=72 |
27.3% | -61.6% | 0.85 | 0.44 | 43.5x | 76 | 52% |
| Supertrend period=23, mult=3.2 |
24.0% | -62.3% | 0.82 | 0.39 | 28.8x | 100 | 42% |
| ADX / DI 방향성 period=26, threshold=25 |
20.4% | -42.1% | 0.82 | 0.48 | 18.1x | 38 | 19% |
| EMA 크로스오버 fast=18, slow=56 |
25.0% | -63.4% | 0.79 | 0.39 | 32.5x | 66 | 53% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=27, mult=1.1 |
22.3% | -61.8% | 0.77 | 0.36 | 23.4x | 130 | 40% |
| 볼린저 밴드 돌파 n=51, k=2.3 |
18.5% | -58.0% | 0.72 | 0.32 | 14.1x | 48 | 28% |
| Parabolic SAR step=0.01, maxStep=0.22 |
19.5% | -48.3% | 0.70 | 0.40 | 16.2x | 181 | 46% |
| MACD fast=12, slow=22, signal=15 |
15.6% | -60.1% | 0.60 | 0.26 | 9.6x | 227 | 49% |
| Buy and hold | 23.2% | -72.1% | 0.69 | 0.32 | 25.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 64-day return is greater than 5%
- Sell — Sell when the 64-day return drops to 5% or below