Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Novatek Microelectronics Corp. backtest
10 trend-following strategies were compared on the full daily history of Novatek Microelectronics Corp.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.5%, MDD -40.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.9%, drawdown -88.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.4%, MDD -51.0%, Sharpe 0.65, 76% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 15.5%, MDD -40.8%, exposure 56%).
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=17, exitN=58 |
17.4% | -51.0% | 0.65 | 0.34 | 46.8x | 67 | 76% |
| SMA 크로스오버 fast=12, slow=62 |
15.5% | -40.8% | 0.64 | 0.38 | 31.4x | 104 | 56% |
| EMA 크로스오버 fast=16, slow=85 |
12.9% | -48.7% | 0.57 | 0.27 | 18.4x | 83 | 56% |
| 볼린저 밴드 돌파 n=76, k=0.7 |
12.0% | -59.2% | 0.55 | 0.20 | 15.1x | 129 | 50% |
| Keltner 채널 돌파 emaPeriod=141, atrPeriod=32, mult=3.9 |
11.1% | -36.0% | 0.54 | 0.31 | 12.4x | 43 | 42% |
| Supertrend period=17, mult=5 |
11.8% | -53.3% | 0.53 | 0.22 | 14.4x | 68 | 55% |
| ADX / DI 방향성 period=18, threshold=38 |
5.1% | -20.8% | 0.51 | 0.24 | 3.3x | 22 | 6% |
| ROC 모멘텀 n=87, threshold=0.02 |
9.4% | -56.8% | 0.46 | 0.17 | 8.7x | 235 | 53% |
| MACD fast=19, slow=42, signal=23 |
8.7% | -73.5% | 0.45 | 0.12 | 7.4x | 208 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.9% | -71.3% | 0.38 | 0.10 | 5.0x | 182 | 55% |
| Buy and hold | 11.9% | -88.6% | 0.49 | 0.13 | 14.8x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 58 days