Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Fortune Electric Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fortune Electric Co., Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.8%, MDD -35.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.1%, drawdown -75.4%).
Sharpe leader (same as main): Supertrend — CAGR 18.5%, MDD -57.4%, Sharpe 0.72, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 15.8%, MDD -35.0%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=4.3 |
18.5% | -57.4% | 0.72 | 0.32 | 92.5x | 93 | 47% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=13, mult=3 |
15.8% | -35.0% | 0.71 | 0.45 | 49.5x | 86 | 27% |
| 볼린저 밴드 돌파 n=33, k=2.6 |
14.1% | -36.4% | 0.66 | 0.39 | 33.8x | 120 | 28% |
| EMA 크로스오버 fast=15, slow=27 |
15.8% | -61.8% | 0.63 | 0.26 | 49.8x | 177 | 51% |
| Donchian 채널 돌파 entryN=31, exitN=18 |
14.4% | -49.9% | 0.62 | 0.29 | 36.3x | 127 | 42% |
| SMA 크로스오버 fast=44, slow=196 |
15.2% | -65.4% | 0.61 | 0.23 | 43.9x | 48 | 53% |
| MACD fast=23, slow=55, signal=17 |
13.7% | -56.4% | 0.59 | 0.24 | 30.9x | 243 | 53% |
| ADX / DI 방향성 period=39, threshold=19 |
11.5% | -57.9% | 0.57 | 0.20 | 18.2x | 68 | 27% |
| ROC 모멘텀 n=97, threshold=0.03 |
11.6% | -77.2% | 0.52 | 0.15 | 18.5x | 262 | 47% |
| Parabolic SAR step=0.015, maxStep=0.12 |
10.0% | -63.8% | 0.47 | 0.16 | 12.6x | 397 | 51% |
| Buy and hold | 17.1% | -75.4% | 0.60 | 0.23 | 67.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)