Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Gold Circuit Electronics Ltd backtest
10 trend-following strategies were compared on the full daily history of Gold Circuit Electronics Ltd. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.5%, MDD -51.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.7%, drawdown -83.1%).
Sharpe leader (same as main): Supertrend — CAGR 18.5%, MDD -51.8%, Sharpe 0.66, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 18.5%, MDD -51.8%, exposure 61%).
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=5, mult=3.8 |
18.5% | -51.8% | 0.66 | 0.36 | 91.1x | 118 | 61% |
| EMA 크로스오버 fast=57, slow=185 |
16.9% | -64.8% | 0.62 | 0.26 | 63.3x | 27 | 61% |
| Donchian 채널 돌파 entryN=90, exitN=96 |
16.2% | -57.1% | 0.60 | 0.28 | 53.9x | 28 | 57% |
| SMA 크로스오버 fast=47, slow=218 |
16.2% | -61.1% | 0.60 | 0.27 | 54.4x | 27 | 58% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=20, mult=2.1 |
9.4% | -64.7% | 0.45 | 0.15 | 11.0x | 128 | 41% |
| ROC 모멘텀 n=110, threshold=-0.04 |
9.9% | -61.8% | 0.44 | 0.16 | 12.4x | 284 | 65% |
| MACD fast=15, slow=19, signal=17 |
9.2% | -71.2% | 0.43 | 0.13 | 10.4x | 380 | 51% |
| ADX / DI 방향성 period=33, threshold=32 |
4.6% | -29.7% | 0.41 | 0.15 | 3.3x | 16 | 6% |
| 볼린저 밴드 돌파 n=43, k=1.4 |
7.0% | -64.6% | 0.38 | 0.11 | 6.0x | 194 | 40% |
| Parabolic SAR step=0.05, maxStep=0.08 |
6.7% | -69.7% | 0.36 | 0.10 | 5.5x | 552 | 52% |
| Buy and hold | 14.7% | -83.1% | 0.53 | 0.18 | 38.3x | 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) — 5-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)