Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Prosperity Dielectrics Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Prosperity Dielectrics Co., Ltd.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.5%, MDD -51.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.5%, drawdown -81.3%).
Sharpe leader (same as main): Supertrend — CAGR 26.4%, MDD -66.3%, Sharpe 0.85, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 19.5%, MDD -51.7%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.3 |
26.4% | -66.3% | 0.85 | 0.40 | 78.9x | 69 | 54% |
| SMA 크로스오버 fast=47, slow=219 |
22.6% | -81.1% | 0.74 | 0.28 | 45.0x | 19 | 49% |
| 볼린저 밴드 돌파 n=49, k=1.9 |
19.5% | -51.7% | 0.73 | 0.38 | 27.9x | 78 | 35% |
| ADX / DI 방향성 period=37, threshold=7 |
21.2% | -82.4% | 0.71 | 0.26 | 36.0x | 175 | 59% |
| ROC 모멘텀 n=80, threshold=-0.02 |
21.3% | -74.5% | 0.70 | 0.29 | 36.9x | 171 | 58% |
| Donchian 채널 돌파 entryN=48, exitN=58 |
19.5% | -71.7% | 0.67 | 0.27 | 27.8x | 39 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=2.1 |
17.0% | -67.6% | 0.65 | 0.25 | 18.8x | 94 | 39% |
| EMA 크로스오버 fast=6, slow=57 |
17.9% | -83.3% | 0.64 | 0.21 | 21.5x | 127 | 52% |
| MACD fast=19, slow=36, signal=28 |
17.3% | -74.9% | 0.64 | 0.23 | 19.5x | 171 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
11.9% | -76.8% | 0.51 | 0.15 | 8.1x | 133 | 47% |
| Buy and hold | 15.5% | -81.3% | 0.51 | 0.19 | 14.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)