Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Inventec Corporation backtest
10 trend-following strategies were compared on the full daily history of Inventec Corporation. 8 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 5.0%, MDD -32.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.0%, drawdown -78.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.0%, MDD -32.0%, Sharpe 0.42, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -54.7%, exposure 37%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 5.0%, MDD -32.0%, exposure 8%).
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=24, threshold=29 |
5.0% | -32.0% | 0.42 | 0.16 | 3.7x | 30 | 8% |
| Donchian 채널 돌파 entryN=40, exitN=20 |
6.4% | -54.7% | 0.38 | 0.12 | 5.2x | 110 | 37% |
| 볼린저 밴드 돌파 n=40, k=2.8 |
4.9% | -38.6% | 0.35 | 0.13 | 3.6x | 74 | 18% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=10, mult=4 |
4.8% | -40.8% | 0.35 | 0.12 | 3.5x | 48 | 15% |
| SMA 크로스오버 fast=12, slow=72 |
5.7% | -62.3% | 0.35 | 0.09 | 4.3x | 112 | 48% |
| MACD fast=22, slow=65, signal=21 |
5.7% | -73.8% | 0.34 | 0.08 | 4.4x | 198 | 53% |
| ROC 모멘텀 n=39, threshold=0.12 |
4.8% | -57.6% | 0.34 | 0.08 | 3.5x | 210 | 17% |
| EMA 크로스오버 fast=22, slow=33 |
4.4% | -64.8% | 0.30 | 0.07 | 3.1x | 138 | 48% |
| Supertrend period=9, mult=4.3 |
1.6% | -62.1% | 0.19 | 0.03 | 1.5x | 114 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.6% | -86.9% | 0.16 | 0.01 | 1.2x | 200 | 50% |
| Buy and hold | 3.0% | -78.3% | 0.27 | 0.04 | 2.2x | 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, 24-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)