Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Pan Jit International Inc. backtest
10 trend-following strategies were compared on the full daily history of Pan Jit International Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.5%, MDD -55.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.5%, drawdown -84.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.5%, MDD -55.9%, Sharpe 0.57, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 14.5%, MDD -55.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=199 |
14.5% | -55.9% | 0.57 | 0.26 | 36.8x | 35 | 47% |
| EMA 크로스오버 fast=26, slow=91 |
12.8% | -72.5% | 0.52 | 0.18 | 25.0x | 63 | 51% |
| Supertrend period=17, mult=3 |
11.3% | -62.9% | 0.48 | 0.18 | 17.3x | 181 | 48% |
| ADX / DI 방향성 period=20, threshold=16 |
10.6% | -68.4% | 0.47 | 0.15 | 14.6x | 245 | 42% |
| ROC 모멘텀 n=134, threshold=0.07 |
10.4% | -56.4% | 0.47 | 0.19 | 14.1x | 175 | 42% |
| Donchian 채널 돌파 entryN=11, exitN=47 |
9.1% | -79.5% | 0.44 | 0.11 | 10.1x | 109 | 79% |
| Parabolic SAR step=0.025, maxStep=0.1 |
8.5% | -78.0% | 0.41 | 0.11 | 8.9x | 481 | 49% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
5.0% | -60.1% | 0.31 | 0.08 | 3.7x | 134 | 36% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=1.3 |
2.3% | -80.0% | 0.23 | 0.03 | 1.9x | 200 | 42% |
| MACD fast=9, slow=49, signal=8 |
-0.5% | -86.8% | 0.20 | -0.01 | 0.9x | 489 | 53% |
| Buy and hold | 9.5% | -84.5% | 0.46 | 0.11 | 11.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 199-day average
- Sell — Sell (to cash) when the 35-day average falls below the 199-day average