Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Yageo Corporation backtest
10 trend-following strategies were compared on the full daily history of Yageo Corporation. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.7%, MDD -40.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 14.5%, drawdown -91.0%).
Sharpe leader (same as main): Supertrend — CAGR 23.7%, MDD -40.8%, Sharpe 0.84, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 23.7%, MDD -40.8%, exposure 49%).
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=27, mult=4.8 |
23.7% | -40.8% | 0.84 | 0.58 | 288.1x | 82 | 49% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=25, mult=3 |
20.5% | -45.6% | 0.81 | 0.45 | 145.0x | 84 | 36% |
| 볼린저 밴드 돌파 n=50, k=1.3 |
20.6% | -57.5% | 0.79 | 0.36 | 148.1x | 130 | 41% |
| EMA 크로스오버 fast=7, slow=78 |
22.3% | -53.9% | 0.78 | 0.41 | 211.9x | 126 | 54% |
| Donchian 채널 돌파 entryN=101, exitN=43 |
20.7% | -60.8% | 0.78 | 0.34 | 151.5x | 40 | 42% |
| SMA 크로스오버 fast=7, slow=65 |
22.0% | -50.8% | 0.77 | 0.43 | 199.8x | 144 | 54% |
| MACD fast=15, slow=57, signal=24 |
17.6% | -60.6% | 0.67 | 0.29 | 75.4x | 246 | 52% |
| ROC 모멘텀 n=82, threshold=0.02 |
17.9% | -65.1% | 0.67 | 0.28 | 81.4x | 219 | 53% |
| ADX / DI 방향성 period=23, threshold=18 |
15.4% | -54.9% | 0.65 | 0.28 | 45.8x | 188 | 37% |
| Parabolic SAR step=0.015, maxStep=0.18 |
13.0% | -84.9% | 0.54 | 0.15 | 25.9x | 406 | 52% |
| Buy and hold | 14.5% | -91.0% | 0.53 | 0.16 | 37.0x | 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) — 27-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)