Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Catcher Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Catcher Technology Co., Ltd.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.9%, MDD -39.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.9%, drawdown -82.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.9%, MDD -39.8%, Sharpe 0.67, 12% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 12.7%, MDD -52.3%, exposure 25%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 9.9%, MDD -39.8%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=27 |
9.9% | -39.8% | 0.67 | 0.25 | 12.4x | 36 | 12% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
12.7% | -52.3% | 0.66 | 0.24 | 24.2x | 54 | 25% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=14, mult=3.5 |
9.7% | -52.9% | 0.56 | 0.18 | 11.8x | 70 | 20% |
| Donchian 채널 돌파 entryN=114, exitN=67 |
11.5% | -54.2% | 0.55 | 0.21 | 18.1x | 32 | 40% |
| SMA 크로스오버 fast=16, slow=38 |
11.5% | -77.0% | 0.51 | 0.15 | 18.1x | 180 | 55% |
| EMA 크로스오버 fast=13, slow=153 |
10.9% | -75.1% | 0.50 | 0.14 | 15.5x | 78 | 53% |
| Supertrend period=21, mult=3.3 |
10.2% | -77.3% | 0.48 | 0.13 | 13.2x | 180 | 53% |
| MACD fast=24, slow=39, signal=31 |
9.4% | -69.0% | 0.45 | 0.14 | 11.0x | 204 | 53% |
| ROC 모멘텀 n=98, threshold=0.14 |
6.8% | -67.2% | 0.39 | 0.10 | 5.8x | 214 | 30% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.6% | -75.9% | 0.33 | 0.07 | 4.3x | 200 | 52% |
| Buy and hold | 7.9% | -82.3% | 0.39 | 0.10 | 7.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)