Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Compal Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Compal Electronics, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 1.2%, MDD -48.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.1%, drawdown -72.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -52.3%, Sharpe 0.23, 38% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 1.2%, MDD -48.7%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=1.2 |
2.6% | -52.3% | 0.23 | 0.05 | 2.0x | 167 | 38% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=22, mult=1.6 |
1.5% | -57.6% | 0.18 | 0.03 | 1.5x | 149 | 36% |
| SMA 크로스오버 fast=48, slow=93 |
1.3% | -58.4% | 0.17 | 0.02 | 1.4x | 73 | 49% |
| Supertrend period=40, mult=4.5 |
1.2% | -48.7% | 0.17 | 0.02 | 1.4x | 101 | 41% |
| EMA 크로스오버 fast=26, slow=88 |
0.5% | -56.9% | 0.14 | 0.01 | 1.1x | 77 | 47% |
| Donchian 채널 돌파 entryN=21, exitN=59 |
-0.5% | -61.6% | 0.12 | -0.01 | 0.9x | 93 | 69% |
| ADX / DI 방향성 period=26, threshold=15 |
-0.3% | -47.0% | 0.08 | -0.01 | 0.9x | 197 | 32% |
| ROC 모멘텀 n=61, threshold=0.07 |
-1.1% | -67.8% | 0.05 | -0.02 | 0.8x | 308 | 31% |
| MACD fast=16, slow=58, signal=19 |
-2.3% | -78.7% | 0.03 | -0.03 | 0.5x | 269 | 52% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-7.2% | -94.1% | -0.18 | -0.08 | 0.1x | 506 | 51% |
| Buy and hold | 0.1% | -72.5% | 0.18 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 43-day middle average