Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Mirle Automation Corp. backtest
10 trend-following strategies were compared on the full daily history of Mirle Automation Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -65.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -56.6%, Sharpe 0.51, 79% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 8.8%p (CAGR 10.3%, MDD -51.5%, exposure 53%).
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=18, exitN=78 |
11.5% | -56.6% | 0.51 | 0.20 | 18.2x | 63 | 79% |
| SMA 크로스오버 fast=36, slow=75 |
10.3% | -51.5% | 0.50 | 0.20 | 13.6x | 87 | 53% |
| EMA 크로스오버 fast=54, slow=81 |
9.2% | -49.7% | 0.46 | 0.19 | 10.5x | 53 | 60% |
| ADX / DI 방향성 period=50, threshold=13 |
6.9% | -63.8% | 0.39 | 0.11 | 5.9x | 102 | 46% |
| Supertrend period=24, mult=4.9 |
6.7% | -61.0% | 0.38 | 0.11 | 5.7x | 90 | 58% |
| MACD fast=20, slow=57, signal=12 |
4.6% | -59.4% | 0.31 | 0.08 | 3.3x | 280 | 47% |
| Parabolic SAR step=0.015, maxStep=0.06 |
4.4% | -58.7% | 0.30 | 0.08 | 3.1x | 314 | 51% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=9, mult=3.4 |
3.5% | -37.3% | 0.27 | 0.09 | 2.5x | 74 | 28% |
| ROC 모멘텀 n=125, threshold=0.08 |
3.1% | -76.1% | 0.25 | 0.04 | 2.3x | 199 | 41% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
3.0% | -50.6% | 0.25 | 0.06 | 2.2x | 182 | 45% |
| Buy and hold | 12.9% | -65.4% | 0.53 | 0.20 | 25.3x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 78 days