Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Phison Electronics Corp. backtest
10 trend-following strategies were compared on the full daily history of Phison Electronics Corp.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.7%, MDD -49.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.7%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.8%, MDD -49.9%, Sharpe 0.72, 69% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 16.7%, MDD -49.8%, exposure 45%).
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=16, exitN=40 |
20.8% | -49.9% | 0.72 | 0.42 | 34.0x | 65 | 69% |
| 볼린저 밴드 돌파 n=54, k=1.1 |
16.7% | -49.8% | 0.68 | 0.34 | 18.0x | 98 | 45% |
| Supertrend period=26, mult=3.3 |
16.9% | -61.4% | 0.68 | 0.28 | 18.6x | 115 | 52% |
| SMA 크로스오버 fast=47, slow=117 |
17.2% | -54.1% | 0.64 | 0.32 | 19.3x | 40 | 54% |
| Parabolic SAR step=0.01, maxStep=0.24 |
15.9% | -56.0% | 0.64 | 0.28 | 15.8x | 213 | 55% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=16, mult=2.1 |
14.3% | -51.5% | 0.63 | 0.28 | 12.2x | 92 | 37% |
| MACD fast=18, slow=28, signal=11 |
12.5% | -66.8% | 0.54 | 0.19 | 9.0x | 263 | 54% |
| EMA 크로스오버 fast=7, slow=39 |
12.5% | -56.0% | 0.53 | 0.22 | 9.0x | 157 | 54% |
| ROC 모멘텀 n=94, threshold=-0.01 |
10.0% | -62.6% | 0.46 | 0.16 | 6.0x | 179 | 56% |
| ADX / DI 방향성 period=30, threshold=6 |
9.0% | -61.7% | 0.44 | 0.15 | 5.0x | 230 | 53% |
| Buy and hold | 14.7% | -83.8% | 0.54 | 0.17 | 12.9x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 40 days