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.. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.5%, MDD -40.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 24.6%, drawdown -81.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 36.2%, MDD -47.7%, Sharpe 1.02, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 23.5%, 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 |
36.2% | -47.7% | 1.02 | 0.76 | 321.7x | 69 | 57% |
| Supertrend period=12, mult=2.6 |
31.2% | -50.9% | 0.98 | 0.61 | 159.4x | 153 | 53% |
| Donchian 채널 돌파 entryN=28, exitN=54 |
34.4% | -61.0% | 0.95 | 0.56 | 249.5x | 47 | 67% |
| ADX / DI 방향성 period=16, threshold=28 |
23.5% | -40.2% | 0.95 | 0.59 | 51.6x | 98 | 25% |
| SMA 크로스오버 fast=10, slow=125 |
32.9% | -50.7% | 0.94 | 0.65 | 203.1x | 43 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
29.0% | -52.1% | 0.93 | 0.56 | 115.7x | 137 | 51% |
| 볼린저 밴드 돌파 n=21, k=2.4 |
23.8% | -45.3% | 0.92 | 0.52 | 53.5x | 119 | 27% |
| ROC 모멘텀 n=60, threshold=0.07 |
28.3% | -51.7% | 0.90 | 0.55 | 105.0x | 157 | 45% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=2.1 |
22.3% | -52.9% | 0.81 | 0.42 | 42.8x | 99 | 36% |
| MACD fast=13, slow=43, signal=11 |
23.4% | -62.4% | 0.79 | 0.37 | 50.5x | 239 | 52% |
| Buy and hold | 24.6% | -81.1% | 0.71 | 0.30 | 60.8x | 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