Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Nanya Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Nanya Technology Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.3%, MDD -45.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.9%, drawdown -99.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.3%, MDD -45.7%, Sharpe 0.80, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.4%, MDD -52.8%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 23.2%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 19.3%, MDD -45.7%, exposure 23%).
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=39, k=2.6 |
19.3% | -45.7% | 0.80 | 0.42 | 98.2x | 78 | 23% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=1.1 |
20.2% | -52.4% | 0.74 | 0.39 | 121.4x | 207 | 38% |
| EMA 크로스오버 fast=10, slow=19 |
20.4% | -69.9% | 0.71 | 0.29 | 124.5x | 247 | 48% |
| Donchian 채널 돌파 entryN=19, exitN=22 |
20.4% | -52.8% | 0.70 | 0.39 | 125.0x | 135 | 49% |
| Supertrend period=24, mult=4.9 |
18.8% | -60.1% | 0.68 | 0.31 | 89.2x | 85 | 46% |
| SMA 크로스오버 fast=7, slow=27 |
18.0% | -70.8% | 0.65 | 0.25 | 74.0x | 275 | 49% |
| ADX / DI 방향성 period=36, threshold=25 |
10.3% | -46.1% | 0.64 | 0.22 | 13.0x | 26 | 8% |
| ROC 모멘텀 n=66, threshold=-0.04 |
15.2% | -60.5% | 0.57 | 0.25 | 39.9x | 253 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
14.5% | -73.7% | 0.57 | 0.20 | 34.1x | 193 | 47% |
| MACD fast=12, slow=48, signal=11 |
9.2% | -91.2% | 0.42 | 0.10 | 9.8x | 349 | 51% |
| Buy and hold | -3.9% | -99.3% | 0.18 | -0.04 | 0.4x | 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 39-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 39-day middle average