Trend-Following Backtester · Guide · backtest 한국어
equity · TW
C Sun Mfg. Ltd. backtest
10 trend-following strategies were compared on the full daily history of C Sun Mfg. Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.9%, MDD -46.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -74.1%).
Sharpe leader (same as main): Supertrend — CAGR 14.9%, MDD -46.8%, Sharpe 0.61, 48% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.0%, MDD -76.3%, exposure 89%.
Return/drawdown alternative: Supertrend — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 27.3%p (CAGR 14.9%, MDD -46.8%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=4 |
14.9% | -46.8% | 0.61 | 0.32 | 39.6x | 110 | 48% |
| Donchian 채널 돌파 entryN=7, exitN=79 |
15.0% | -76.3% | 0.57 | 0.20 | 41.3x | 77 | 89% |
| EMA 크로스오버 fast=49, slow=113 |
13.2% | -56.3% | 0.56 | 0.24 | 27.3x | 43 | 56% |
| ADX / DI 방향성 period=17, threshold=26 |
11.0% | -46.3% | 0.54 | 0.24 | 15.9x | 122 | 24% |
| SMA 크로스오버 fast=25, slow=37 |
12.4% | -63.9% | 0.54 | 0.19 | 22.3x | 196 | 52% |
| MACD fast=16, slow=29, signal=23 |
11.6% | -49.4% | 0.53 | 0.24 | 18.7x | 274 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=1.7 |
10.8% | -63.2% | 0.51 | 0.17 | 15.3x | 150 | 39% |
| ROC 모멘텀 n=86, threshold=0.02 |
9.1% | -72.5% | 0.44 | 0.13 | 10.1x | 245 | 51% |
| Parabolic SAR step=0.01, maxStep=0.08 |
7.9% | -78.6% | 0.42 | 0.10 | 7.6x | 266 | 50% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
5.7% | -81.6% | 0.36 | 0.07 | 4.3x | 86 | 27% |
| Buy and hold | 15.7% | -74.1% | 0.58 | 0.21 | 48.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)