Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Compeq Manufacturing Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Compeq Manufacturing Co., Ltd.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.7%, MDD -34.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.3%, drawdown -96.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.7%, MDD -34.6%, Sharpe 0.53, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.1%, MDD -61.2%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 62.3%p (CAGR 7.7%, MDD -34.6%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=28 |
7.7% | -34.6% | 0.53 | 0.22 | 7.1x | 26 | 9% |
| 볼린저 밴드 돌파 n=46, k=3.4 |
7.1% | -40.6% | 0.47 | 0.17 | 6.2x | 42 | 13% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=26, mult=3.9 |
6.2% | -36.3% | 0.45 | 0.17 | 4.9x | 48 | 10% |
| SMA 크로스오버 fast=19, slow=80 |
8.1% | -61.2% | 0.41 | 0.13 | 7.9x | 102 | 49% |
| ROC 모멘텀 n=111, threshold=0.27 |
6.5% | -58.3% | 0.39 | 0.11 | 5.3x | 136 | 20% |
| Donchian 채널 돌파 entryN=67, exitN=85 |
6.3% | -71.9% | 0.35 | 0.09 | 5.0x | 40 | 54% |
| MACD fast=19, slow=42, signal=14 |
5.2% | -88.2% | 0.32 | 0.06 | 3.8x | 292 | 51% |
| EMA 크로스오버 fast=47, slow=53 |
5.0% | -83.1% | 0.31 | 0.06 | 3.7x | 76 | 50% |
| Supertrend period=19, mult=5 |
3.7% | -79.9% | 0.28 | 0.05 | 2.6x | 88 | 48% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-0.6% | -90.7% | 0.14 | -0.01 | 0.9x | 318 | 50% |
| Buy and hold | 2.3% | -96.9% | 0.28 | 0.02 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)