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. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.9%, MDD -50.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.3%, drawdown -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.9%, MDD -50.5%, Sharpe 0.53, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 11.9%, MDD -50.5%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=24, slow=218 |
11.9% | -50.5% | 0.53 | 0.24 | 8.2x | 25 | 54% |
| Donchian 채널 돌파 entryN=18, exitN=67 |
11.8% | -65.3% | 0.52 | 0.18 | 8.0x | 42 | 77% |
| EMA 크로스오버 fast=45, slow=212 |
11.2% | -55.5% | 0.51 | 0.20 | 7.3x | 23 | 51% |
| Supertrend period=24, mult=4.8 |
9.5% | -51.4% | 0.49 | 0.19 | 5.5x | 62 | 46% |
| 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 |
7.7% | -59.3% | 0.41 | 0.13 | 4.0x | 215 | 52% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=15, mult=1.7 |
4.8% | -44.1% | 0.35 | 0.11 | 2.4x | 140 | 24% |
| ADX / DI 방향성 period=28, threshold=7 |
4.4% | -75.3% | 0.30 | 0.06 | 2.2x | 227 | 57% |
| Parabolic SAR step=0.005, maxStep=0.08 |
2.6% | -58.7% | 0.23 | 0.04 | 1.6x | 135 | 47% |
| MACD fast=13, slow=24, signal=9 |
-1.2% | -87.0% | 0.08 | -0.01 | 0.8x | 325 | 51% |
| Buy and hold | 8.3% | -80.8% | 0.41 | 0.10 | 4.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 24-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 24-day average falls below the 218-day average