Trend-Following Backtester · Guide · backtest 한국어
equity · TW
MPI Corporation backtest
10 trend-following strategies were compared on the full daily history of MPI Corporation. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 33.7%, MDD -43.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 24.2%, drawdown -82.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.1%, MDD -46.1%, Sharpe 1.03, 70% exposure.
Return/drawdown alternative: Supertrend — CAGR is 14.9%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 33.7%, MDD -43.2%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=26 |
39.1% | -46.1% | 1.03 | 0.85 | 472.6x | 98 | 70% |
| Supertrend period=18, mult=3.1 |
33.7% | -43.2% | 1.01 | 0.78 | 227.1x | 112 | 50% |
| ADX / DI 방향성 period=28, threshold=14 |
31.1% | -51.8% | 0.94 | 0.60 | 156.9x | 108 | 49% |
| EMA 크로스오버 fast=12, slow=113 |
29.8% | -49.4% | 0.88 | 0.60 | 130.0x | 49 | 57% |
| ROC 모멘텀 n=110, threshold=-0.02 |
27.2% | -62.4% | 0.82 | 0.44 | 89.4x | 129 | 59% |
| 볼린저 밴드 돌파 n=26, k=1.7 |
21.9% | -51.3% | 0.79 | 0.43 | 40.1x | 146 | 37% |
| SMA 크로스오버 fast=39, slow=146 |
25.4% | -65.1% | 0.78 | 0.39 | 68.2x | 31 | 55% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=2.1 |
22.4% | -61.7% | 0.78 | 0.36 | 43.8x | 106 | 41% |
| Parabolic SAR step=0.015, maxStep=0.26 |
23.2% | -53.2% | 0.78 | 0.44 | 49.1x | 286 | 51% |
| MACD fast=16, slow=29, signal=11 |
16.4% | -59.0% | 0.62 | 0.28 | 17.1x | 262 | 52% |
| Buy and hold | 24.2% | -82.3% | 0.70 | 0.29 | 56.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 26 days