Trend-Following Backtester · Guide · backtest 한국어
equity · TW
All Ring Tech Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of All Ring Tech Co., Ltd.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.6%, MDD -40.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 22.3%, drawdown -81.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 35.2%, MDD -47.7%, Sharpe 1.01, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 23.6%, MDD -40.2%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=58 |
35.2% | -47.7% | 1.01 | 0.74 | 271.7x | 68 | 57% |
| Supertrend period=12, mult=2.6 |
30.5% | -50.9% | 0.97 | 0.60 | 140.0x | 152 | 52% |
| ADX / DI 방향성 period=16, threshold=28 |
23.6% | -40.2% | 0.95 | 0.59 | 51.6x | 98 | 25% |
| Donchian 채널 돌파 entryN=28, exitN=54 |
33.6% | -61.0% | 0.94 | 0.55 | 219.1x | 46 | 67% |
| 볼린저 밴드 돌파 n=21, k=2.4 |
24.1% | -45.3% | 0.94 | 0.53 | 55.4x | 118 | 27% |
| Parabolic SAR step=0.005, maxStep=0.14 |
27.7% | -52.1% | 0.91 | 0.53 | 94.2x | 136 | 51% |
| ROC 모멘텀 n=60, threshold=0.07 |
28.5% | -51.7% | 0.91 | 0.55 | 106.2x | 152 | 45% |
| SMA 크로스오버 fast=10, slow=125 |
30.5% | -50.7% | 0.90 | 0.60 | 140.3x | 43 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=2.1 |
22.1% | -52.9% | 0.81 | 0.42 | 40.7x | 98 | 36% |
| MACD fast=13, slow=43, signal=11 |
22.1% | -62.4% | 0.76 | 0.36 | 41.2x | 238 | 52% |
| Buy and hold | 22.3% | -81.1% | 0.67 | 0.27 | 42.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 58-day EMA
- Sell — Sell when the 13-day EMA falls below the 58-day EMA