Trend-Following Backtester · Guide · backtest 한국어
equity · TW
GeniuS Electronic Optical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of GeniuS Electronic Optical Co., Ltd.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.0%, MDD -46.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -96.5%).
Sharpe leader (same as main): Supertrend — CAGR 34.2%, MDD -48.8%, Sharpe 1.03, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 30.0%p higher than buy and hold, while drawdown improves by 47.7%p (CAGR 19.0%, MDD -46.1%, exposure 15%).
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=25, mult=2.4 |
34.2% | -48.8% | 1.03 | 0.70 | 440.1x | 193 | 44% |
| Parabolic SAR step=0.01, maxStep=0.26 |
31.6% | -51.7% | 0.94 | 0.61 | 292.6x | 243 | 49% |
| EMA 크로스오버 fast=10, slow=14 |
30.0% | -62.7% | 0.89 | 0.48 | 227.4x | 199 | 48% |
| ROC 모멘텀 n=14, threshold=0.02 |
27.9% | -55.1% | 0.88 | 0.51 | 163.1x | 511 | 42% |
| Donchian 채널 돌파 entryN=26, exitN=14 |
26.3% | -58.7% | 0.88 | 0.45 | 124.9x | 109 | 35% |
| MACD fast=15, slow=72, signal=11 |
29.1% | -57.3% | 0.87 | 0.51 | 198.5x | 239 | 51% |
| 볼린저 밴드 돌파 n=36, k=1.5 |
24.6% | -64.0% | 0.84 | 0.38 | 94.1x | 129 | 34% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=4 |
19.0% | -46.1% | 0.80 | 0.41 | 36.9x | 45 | 15% |
| ADX / DI 방향성 period=10, threshold=22 |
19.7% | -59.0% | 0.71 | 0.33 | 41.1x | 313 | 37% |
| SMA 크로스오버 fast=37, slow=188 |
9.6% | -84.2% | 0.44 | 0.11 | 6.7x | 37 | 45% |
| Buy and hold | 4.2% | -96.5% | 0.35 | 0.04 | 2.3x | 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) — 25-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)