Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Keystone Microtech Co. backtest
10 trend-following strategies were compared on the full daily history of Keystone Microtech Co.. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 58.5%, MDD -29.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 27.6%, drawdown -67.1%).
Sharpe leader (same as main): MACD — CAGR 58.5%, MDD -29.2%, Sharpe 1.38, 51% exposure.
Return/drawdown alternative: MACD — CAGR is 30.8%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 58.5%, MDD -29.2%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=36, signal=11 |
58.5% | -29.2% | 1.38 | 2.00 | 44.8x | 111 | 51% |
| Supertrend period=20, mult=1.7 |
44.4% | -40.1% | 1.18 | 1.11 | 20.8x | 114 | 47% |
| Parabolic SAR step=0.02, maxStep=0.2 |
40.3% | -42.2% | 1.10 | 0.95 | 16.4x | 154 | 51% |
| 볼린저 밴드 돌파 n=12, k=1.9 |
30.9% | -29.9% | 1.00 | 1.04 | 9.3x | 112 | 32% |
| SMA 크로스오버 fast=12, slow=17 |
36.1% | -50.5% | 0.99 | 0.71 | 12.7x | 123 | 53% |
| ROC 모멘텀 n=11, threshold=-0.04 |
36.0% | -54.9% | 0.94 | 0.66 | 12.7x | 230 | 67% |
| ADX / DI 방향성 period=18, threshold=13 |
33.4% | -50.1% | 0.92 | 0.67 | 10.8x | 102 | 56% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=1.4 |
29.5% | -42.3% | 0.91 | 0.70 | 8.4x | 74 | 37% |
| Donchian 채널 돌파 entryN=22, exitN=8 |
24.1% | -42.7% | 0.80 | 0.57 | 6.0x | 66 | 35% |
| EMA 크로스오버 fast=14, slow=145 |
25.1% | -59.7% | 0.74 | 0.42 | 6.4x | 20 | 61% |
| Buy and hold | 27.6% | -67.1% | 0.73 | 0.41 | 7.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/36) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line