Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Visual Photonics Epitaxy Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Visual Photonics Epitaxy Co., Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.7%, MDD -46.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.2%, drawdown -86.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.9%, MDD -54.4%, Sharpe 0.78, 36% exposure.
CAGR reference leader: MACD — CAGR 23.4%, MDD -75.3%, exposure 53%.
Return/drawdown alternative: Supertrend — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 19.7%, MDD -46.3%, exposure 49%).
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=50, k=1.8 |
20.9% | -54.4% | 0.78 | 0.38 | 107.3x | 98 | 36% |
| MACD fast=12, slow=51, signal=16 |
23.4% | -75.3% | 0.77 | 0.31 | 175.2x | 257 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=19, mult=1.6 |
20.8% | -61.0% | 0.77 | 0.34 | 103.8x | 165 | 38% |
| Donchian 채널 돌파 entryN=29, exitN=27 |
20.1% | -53.0% | 0.70 | 0.38 | 89.6x | 95 | 50% |
| Supertrend period=24, mult=4.2 |
19.7% | -46.3% | 0.70 | 0.43 | 83.6x | 97 | 49% |
| SMA 크로스오버 fast=51, slow=105 |
20.3% | -55.0% | 0.69 | 0.37 | 93.9x | 59 | 54% |
| EMA 크로스오버 fast=18, slow=22 |
19.1% | -64.5% | 0.67 | 0.30 | 74.0x | 161 | 53% |
| ROC 모멘텀 n=104, threshold=-0.02 |
18.3% | -58.8% | 0.64 | 0.31 | 62.5x | 175 | 58% |
| ADX / DI 방향성 period=30, threshold=13 |
16.4% | -53.8% | 0.62 | 0.31 | 42.1x | 199 | 47% |
| Parabolic SAR step=0.01, maxStep=0.36 |
16.3% | -58.1% | 0.61 | 0.28 | 41.4x | 293 | 51% |
| Buy and hold | 14.2% | -86.8% | 0.52 | 0.16 | 26.1x | 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 50-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 50-day middle average