Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Lite-On Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Lite-On Technology Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -75.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -37.6%, Sharpe 0.50, 23% exposure.
CAGR reference leader: Supertrend — CAGR 9.7%, MDD -67.0%, exposure 56%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=92, exitN=14 |
7.9% | -37.6% | 0.50 | 0.21 | 7.6x | 69 | 23% |
| Supertrend period=28, mult=4.7 |
9.7% | -67.0% | 0.48 | 0.15 | 11.9x | 93 | 56% |
| ROC 모멘텀 n=30, threshold=0.2 |
6.4% | -51.5% | 0.47 | 0.13 | 5.3x | 107 | 7% |
| SMA 크로스오버 fast=16, slow=200 |
8.8% | -48.2% | 0.46 | 0.18 | 9.4x | 53 | 54% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
7.5% | -43.8% | 0.42 | 0.17 | 6.8x | 177 | 41% |
| ADX / DI 방향성 period=22, threshold=21 |
6.1% | -48.5% | 0.40 | 0.13 | 4.8x | 117 | 22% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=22, mult=3.9 |
4.6% | -34.9% | 0.39 | 0.13 | 3.3x | 30 | 6% |
| EMA 크로스오버 fast=46, slow=105 |
7.1% | -59.5% | 0.39 | 0.12 | 6.2x | 47 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.9% | -73.0% | 0.24 | 0.04 | 2.1x | 205 | 53% |
| MACD fast=18, slow=44, signal=37 |
2.0% | -75.7% | 0.21 | 0.03 | 1.7x | 231 | 52% |
| Buy and hold | 11.8% | -75.5% | 0.49 | 0.16 | 19.4x | 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 92 days
- Sell — Sell when price breaks below the lowest low of the last 14 days