Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Dynapack International Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Dynapack International Technology Corporation. 6 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 7.4%, MDD -38.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.7%, drawdown -80.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.8%, MDD -65.3%, Sharpe 0.52, 77% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 15.5%p (CAGR 7.4%, MDD -38.6%, exposure 33%).
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=18, exitN=67 |
11.8% | -65.3% | 0.52 | 0.18 | 8.0x | 42 | 77% |
| Supertrend period=24, mult=4.8 |
9.6% | -51.4% | 0.49 | 0.19 | 5.5x | 62 | 46% |
| SMA 크로스오버 fast=24, slow=218 |
10.3% | -50.5% | 0.49 | 0.20 | 6.2x | 25 | 54% |
| EMA 크로스오버 fast=45, slow=212 |
9.6% | -55.5% | 0.47 | 0.17 | 5.5x | 23 | 51% |
| 볼린저 밴드 돌파 n=34, k=1.9 |
7.4% | -38.6% | 0.44 | 0.19 | 3.8x | 110 | 33% |
| ROC 모멘텀 n=69, threshold=0 |
7.2% | -59.3% | 0.40 | 0.12 | 3.6x | 212 | 52% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=15, mult=1.7 |
4.9% | -44.1% | 0.35 | 0.11 | 2.4x | 140 | 25% |
| ADX / DI 방향성 period=28, threshold=7 |
5.1% | -75.3% | 0.32 | 0.07 | 2.5x | 224 | 57% |
| Parabolic SAR step=0.005, maxStep=0.08 |
2.8% | -58.7% | 0.24 | 0.05 | 1.7x | 134 | 47% |
| MACD fast=13, slow=24, signal=9 |
-0.3% | -87.0% | 0.12 | -0.00 | 1.0x | 322 | 51% |
| Buy and hold | 6.7% | -80.8% | 0.36 | 0.08 | 3.3x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 67 days