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 18.1%, MDD -46.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.5%, drawdown -96.5%).
Sharpe leader (same as main): Supertrend — CAGR 30.5%, MDD -48.8%, Sharpe 0.95, 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 18.1%, 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 |
30.5% | -48.8% | 0.95 | 0.62 | 240.8x | 192 | 44% |
| Parabolic SAR step=0.01, maxStep=0.26 |
27.8% | -51.7% | 0.87 | 0.54 | 156.0x | 242 | 48% |
| EMA 크로스오버 fast=10, slow=14 |
26.7% | -62.7% | 0.83 | 0.43 | 131.4x | 198 | 48% |
| Donchian 채널 돌파 entryN=26, exitN=14 |
24.0% | -58.7% | 0.83 | 0.41 | 84.4x | 108 | 35% |
| ROC 모멘텀 n=14, threshold=0.02 |
24.8% | -55.1% | 0.81 | 0.45 | 96.8x | 508 | 42% |
| MACD fast=15, slow=72, signal=11 |
25.4% | -57.3% | 0.80 | 0.44 | 106.8x | 238 | 51% |
| 볼린저 밴드 돌파 n=36, k=1.5 |
22.3% | -64.0% | 0.79 | 0.35 | 63.6x | 128 | 34% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=4 |
18.1% | -46.1% | 0.78 | 0.39 | 30.8x | 44 | 15% |
| ADX / DI 방향성 period=10, threshold=22 |
16.3% | -59.0% | 0.62 | 0.28 | 22.5x | 312 | 36% |
| SMA 크로스오버 fast=37, slow=188 |
5.8% | -84.2% | 0.34 | 0.07 | 3.2x | 37 | 44% |
| Buy and hold | 0.5% | -96.5% | 0.28 | 0.01 | 1.1x | 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)