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 -5.4%, 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 20.1%, MDD -52.8%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.8%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 |
19.4% | -52.4% | 0.72 | 0.37 | 100.0x | 206 | 38% |
| Donchian 채널 돌파 entryN=19, exitN=22 |
20.1% | -52.8% | 0.70 | 0.38 | 116.1x | 134 | 49% |
| EMA 크로스오버 fast=10, slow=19 |
19.7% | -69.9% | 0.69 | 0.28 | 105.8x | 246 | 48% |
| Supertrend period=24, mult=4.9 |
18.8% | -60.1% | 0.68 | 0.31 | 86.5x | 84 | 46% |
| SMA 크로스오버 fast=7, slow=27 |
17.7% | -70.8% | 0.64 | 0.25 | 68.7x | 274 | 49% |
| ADX / DI 방향성 period=36, threshold=25 |
10.4% | -46.1% | 0.64 | 0.23 | 13.0x | 26 | 8% |
| Parabolic SAR step=0.005, maxStep=0.38 |
14.2% | -73.7% | 0.56 | 0.19 | 31.7x | 192 | 47% |
| ROC 모멘텀 n=66, threshold=-0.04 |
13.5% | -60.5% | 0.53 | 0.22 | 26.5x | 253 | 56% |
| MACD fast=12, slow=48, signal=11 |
8.5% | -91.2% | 0.41 | 0.09 | 8.4x | 348 | 51% |
| Buy and hold | -5.4% | -99.3% | 0.15 | -0.05 | 0.2x | 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