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 EMA 크로스오버 (CAGR 25.7%, MDD -57.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 26.4%, drawdown -88.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.1%, MDD -62.6%, Sharpe 0.84, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 25.9%p (CAGR 25.7%, MDD -57.2%, exposure 64%).
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 |
29.1% | -62.6% | 0.84 | 0.46 | 898.3x | 49 | 74% |
| ROC 모멘텀 n=58, threshold=0 |
25.7% | -58.1% | 0.82 | 0.44 | 441.1x | 277 | 58% |
| EMA 크로스오버 fast=18, slow=237 |
25.7% | -57.2% | 0.82 | 0.45 | 444.1x | 33 | 64% |
| ADX / DI 방향성 period=13, threshold=29 |
18.7% | -47.7% | 0.80 | 0.39 | 96.5x | 188 | 26% |
| Supertrend period=7, mult=2.3 |
24.3% | -50.9% | 0.80 | 0.48 | 328.3x | 256 | 55% |
| MACD fast=13, slow=47, signal=30 |
23.7% | -55.6% | 0.80 | 0.43 | 287.1x | 239 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=28, mult=1.3 |
22.5% | -43.4% | 0.78 | 0.52 | 225.3x | 173 | 49% |
| SMA 크로스오버 fast=20, slow=67 |
22.9% | -50.3% | 0.76 | 0.45 | 243.5x | 105 | 57% |
| 볼린저 밴드 돌파 n=39, k=1.9 |
18.7% | -41.5% | 0.73 | 0.45 | 96.1x | 143 | 37% |
| Parabolic SAR step=0.01, maxStep=0.34 |
15.3% | -54.7% | 0.59 | 0.28 | 44.3x | 345 | 53% |
| Buy and hold | 26.4% | -88.5% | 0.73 | 0.30 | 510.7x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 77 days