Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Greatek Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Greatek Electronics, Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.8%, MDD -33.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.5%, drawdown -70.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.1%, MDD -52.9%, Sharpe 0.65, 76% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 9.8%, MDD -33.0%, exposure 47%).
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=17, exitN=59 |
16.1% | -52.9% | 0.65 | 0.30 | 46.7x | 61 | 76% |
| EMA 크로스오버 fast=22, slow=63 |
12.9% | -47.9% | 0.58 | 0.27 | 22.6x | 73 | 61% |
| SMA 크로스오버 fast=11, slow=172 |
12.4% | -48.2% | 0.56 | 0.26 | 20.1x | 53 | 62% |
| 볼린저 밴드 돌파 n=70, k=1 |
10.4% | -43.1% | 0.53 | 0.24 | 12.8x | 118 | 49% |
| Supertrend period=10, mult=4.2 |
10.8% | -38.6% | 0.52 | 0.28 | 14.1x | 98 | 56% |
| ADX / DI 방향성 period=35, threshold=12 |
9.8% | -33.0% | 0.51 | 0.30 | 11.2x | 192 | 47% |
| MACD fast=21, slow=60, signal=26 |
9.0% | -50.8% | 0.47 | 0.18 | 9.3x | 200 | 52% |
| ROC 모멘텀 n=102, threshold=-0.01 |
8.1% | -49.0% | 0.42 | 0.16 | 7.4x | 215 | 64% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=1.3 |
5.8% | -49.1% | 0.36 | 0.12 | 4.3x | 184 | 48% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.8% | -73.6% | 0.31 | 0.07 | 3.4x | 186 | 53% |
| Buy and hold | 9.5% | -70.3% | 0.43 | 0.14 | 10.4x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 59 days