Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Gigabyte Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gigabyte Technology Co., Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.3%, MDD -38.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.9%, drawdown -87.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.2%, MDD -38.1%, Sharpe 0.62, 29% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.5%, MDD -56.5%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 11.3%, MDD -38.1%, exposure 27%).
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=50, k=2.3 |
12.2% | -38.1% | 0.62 | 0.32 | 21.7x | 80 | 29% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=13, mult=3 |
11.3% | -38.1% | 0.60 | 0.30 | 17.5x | 86 | 27% |
| SMA 크로스오버 fast=7, slow=46 |
13.5% | -56.5% | 0.60 | 0.24 | 29.2x | 193 | 51% |
| Donchian 채널 돌파 entryN=42, exitN=17 |
11.8% | -49.3% | 0.59 | 0.24 | 19.7x | 95 | 34% |
| Supertrend period=14, mult=3.7 |
13.1% | -62.6% | 0.58 | 0.21 | 26.4x | 127 | 53% |
| ADX / DI 방향성 period=17, threshold=22 |
9.3% | -44.4% | 0.52 | 0.21 | 10.7x | 170 | 25% |
| EMA 크로스오버 fast=16, slow=22 |
10.1% | -64.2% | 0.48 | 0.16 | 13.0x | 195 | 51% |
| ROC 모멘텀 n=28, threshold=0.08 |
7.1% | -41.6% | 0.42 | 0.17 | 6.2x | 380 | 26% |
| MACD fast=18, slow=37, signal=29 |
6.8% | -75.0% | 0.37 | 0.09 | 5.7x | 240 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-2.2% | -85.9% | 0.06 | -0.03 | 0.6x | 426 | 50% |
| Buy and hold | 6.9% | -87.5% | 0.37 | 0.08 | 6.0x | 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 50-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 50-day middle average