Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Xintec Inc. backtest
10 trend-following strategies were compared on the full daily history of Xintec Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.6%, MDD -28.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.2%, drawdown -74.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.0%, MDD -37.2%, Sharpe 0.77, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 20.0%, MDD -45.5%, exposure 41%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 13.6%, MDD -28.5%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=2.6 |
17.0% | -37.2% | 0.77 | 0.46 | 18.6x | 71 | 23% |
| SMA 크로스오버 fast=11, slow=38 |
20.0% | -45.5% | 0.71 | 0.44 | 30.0x | 90 | 41% |
| Supertrend period=28, mult=3 |
18.1% | -50.6% | 0.69 | 0.36 | 22.2x | 103 | 56% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=19, mult=3.2 |
13.6% | -28.5% | 0.68 | 0.48 | 10.8x | 46 | 31% |
| EMA 크로스오버 fast=18, slow=21 |
18.1% | -48.6% | 0.67 | 0.37 | 22.2x | 93 | 58% |
| ADX / DI 방향성 period=28, threshold=5 |
16.7% | -61.6% | 0.62 | 0.27 | 17.9x | 159 | 63% |
| Donchian 채널 돌파 entryN=11, exitN=49 |
17.9% | -60.9% | 0.61 | 0.29 | 21.6x | 51 | 83% |
| ROC 모멘텀 n=29, threshold=0.04 |
13.6% | -52.8% | 0.57 | 0.26 | 10.7x | 219 | 33% |
| MACD fast=6, slow=52, signal=19 |
13.1% | -65.5% | 0.54 | 0.20 | 9.9x | 209 | 43% |
| Parabolic SAR step=0.02, maxStep=0.2 |
12.9% | -69.2% | 0.54 | 0.19 | 9.7x | 263 | 57% |
| Buy and hold | 11.2% | -74.9% | 0.47 | 0.15 | 7.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 21-day middle average