Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Quanta Computer Inc. backtest
10 trend-following strategies were compared on the full daily history of Quanta Computer Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.0%, MDD -40.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -65.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -49.3%, Sharpe 0.42, 23% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 6.0%, MDD -40.7%, exposure 27%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 16.5%p (CAGR 6.0%, MDD -40.7%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=101, exitN=21 |
5.9% | -49.3% | 0.42 | 0.12 | 4.6x | 56 | 23% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
6.0% | -40.7% | 0.41 | 0.15 | 4.7x | 74 | 27% |
| ADX / DI 방향성 period=38, threshold=33 |
2.9% | -20.4% | 0.40 | 0.14 | 2.2x | 2 | 1% |
| SMA 크로스오버 fast=55, slow=107 |
4.9% | -45.9% | 0.32 | 0.11 | 3.6x | 65 | 48% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=2.7 |
4.1% | -49.6% | 0.31 | 0.08 | 3.0x | 94 | 28% |
| EMA 크로스오버 fast=63, slow=94 |
3.1% | -57.1% | 0.25 | 0.05 | 2.2x | 49 | 52% |
| Supertrend period=12, mult=4.9 |
1.1% | -69.7% | 0.17 | 0.02 | 1.3x | 98 | 49% |
| ROC 모멘텀 n=110, threshold=-0.02 |
0.8% | -73.7% | 0.16 | 0.01 | 1.2x | 263 | 56% |
| MACD fast=16, slow=37, signal=24 |
-2.4% | -83.4% | 0.03 | -0.03 | 0.5x | 289 | 52% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-6.4% | -95.1% | -0.15 | -0.07 | 0.2x | 443 | 53% |
| Buy and hold | 6.0% | -65.8% | 0.34 | 0.09 | 4.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 101 days
- Sell — Sell when price breaks below the lowest low of the last 21 days