Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Elite Material Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Elite Material Co., Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 24.2%, MDD -50.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 25.8%, drawdown -88.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.5%, MDD -62.6%, Sharpe 0.83, 74% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 25.9%p (CAGR 24.2%, MDD -50.9%, exposure 55%).
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=31, exitN=77 |
28.5% | -62.6% | 0.83 | 0.45 | 777.1x | 49 | 74% |
| ROC 모멘텀 n=58, threshold=0 |
25.3% | -58.1% | 0.81 | 0.44 | 402.4x | 276 | 58% |
| MACD fast=13, slow=47, signal=30 |
24.0% | -55.6% | 0.81 | 0.43 | 301.4x | 238 | 51% |
| EMA 크로스오버 fast=18, slow=237 |
25.1% | -57.2% | 0.81 | 0.44 | 384.2x | 33 | 64% |
| ADX / DI 방향성 period=13, threshold=29 |
18.8% | -47.7% | 0.81 | 0.39 | 96.5x | 188 | 26% |
| Supertrend period=7, mult=2.3 |
24.2% | -50.9% | 0.80 | 0.48 | 313.9x | 254 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=28, mult=1.3 |
22.5% | -43.4% | 0.78 | 0.52 | 219.0x | 172 | 49% |
| SMA 크로스오버 fast=20, slow=67 |
23.7% | -50.3% | 0.78 | 0.47 | 283.4x | 104 | 57% |
| 볼린저 밴드 돌파 n=39, k=1.9 |
19.3% | -41.5% | 0.75 | 0.46 | 108.5x | 142 | 36% |
| Parabolic SAR step=0.01, maxStep=0.34 |
15.2% | -54.7% | 0.59 | 0.28 | 42.6x | 344 | 53% |
| Buy and hold | 25.8% | -88.5% | 0.72 | 0.29 | 441.8x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 77 days