Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Kinsus Interconnect Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Kinsus Interconnect Technology Corp.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.7%, MDD -48.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.1%, drawdown -80.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.7%, MDD -48.7%, Sharpe 0.71, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 20.7%, MDD -48.7%, exposure 49%).
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=48, slow=177 |
20.7% | -48.7% | 0.71 | 0.43 | 59.7x | 31 | 49% |
| EMA 크로스오버 fast=48, slow=138 |
16.7% | -67.4% | 0.61 | 0.25 | 28.7x | 29 | 51% |
| Donchian 채널 돌파 entryN=47, exitN=64 |
15.9% | -77.3% | 0.59 | 0.21 | 24.8x | 37 | 58% |
| ROC 모멘텀 n=115, threshold=0.06 |
12.4% | -67.0% | 0.52 | 0.19 | 12.8x | 167 | 44% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
8.3% | -39.6% | 0.48 | 0.21 | 5.6x | 44 | 15% |
| ADX / DI 방향성 period=34, threshold=17 |
9.4% | -69.7% | 0.47 | 0.13 | 7.0x | 84 | 24% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=3.4 |
9.4% | -51.7% | 0.47 | 0.18 | 7.0x | 58 | 26% |
| Supertrend period=12, mult=3.9 |
10.1% | -78.0% | 0.46 | 0.13 | 8.2x | 98 | 52% |
| MACD fast=7, slow=47, signal=9 |
1.0% | -85.2% | 0.19 | 0.01 | 1.2x | 448 | 50% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-1.0% | -92.6% | 0.13 | -0.01 | 0.8x | 422 | 51% |
| Buy and hold | 13.1% | -80.6% | 0.50 | 0.16 | 14.6x | 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 48-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 48-day average falls below the 177-day average