Trend-Following Backtester · Guide · backtest 한국어
equity · TW
AURAS Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of AURAS Technology Co., Ltd.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 26.2%, MDD -43.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 26.4%, drawdown -76.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.1%, MDD -26.9%, Sharpe 0.92, 13% exposure.
CAGR reference leader: Parabolic SAR — CAGR 26.9%, MDD -49.3%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.2%p lower than buy and hold, while drawdown improves by 50.0%p (CAGR 26.2%, MDD -43.8%, exposure 47%).
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=25, atrPeriod=11, mult=4 |
18.1% | -26.9% | 0.92 | 0.67 | 22.4x | 26 | 13% |
| 볼린저 밴드 돌파 n=49, k=1.6 |
26.1% | -51.0% | 0.87 | 0.51 | 75.8x | 81 | 39% |
| Parabolic SAR step=0.01, maxStep=0.06 |
26.9% | -49.3% | 0.86 | 0.55 | 85.5x | 187 | 50% |
| Donchian 채널 돌파 entryN=104, exitN=68 |
26.2% | -43.8% | 0.83 | 0.60 | 77.3x | 22 | 47% |
| EMA 크로스오버 fast=15, slow=119 |
26.7% | -52.8% | 0.82 | 0.51 | 83.3x | 47 | 55% |
| ADX / DI 방향성 period=34, threshold=14 |
23.8% | -45.2% | 0.81 | 0.53 | 54.1x | 94 | 43% |
| Supertrend period=9, mult=2.7 |
24.9% | -52.2% | 0.80 | 0.48 | 63.2x | 149 | 51% |
| MACD fast=11, slow=59, signal=17 |
23.9% | -58.3% | 0.79 | 0.41 | 54.6x | 223 | 49% |
| SMA 크로스오버 fast=37, slow=152 |
25.0% | -46.6% | 0.79 | 0.54 | 64.6x | 30 | 53% |
| ROC 모멘텀 n=167, threshold=0.04 |
23.9% | -60.3% | 0.76 | 0.40 | 54.3x | 113 | 54% |
| Buy and hold | 26.4% | -76.9% | 0.73 | 0.34 | 78.8x | 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 25-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average