Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Global Unichip Corp. backtest
10 trend-following strategies were compared on the full daily history of Global Unichip Corp.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 24.9%, drawdown -86.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.9%, MDD -73.5%, Sharpe 0.75, 76% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=12, exitN=47 |
25.9% | -73.5% | 0.75 | 0.35 | 94.3x | 74 | 76% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=13, mult=3.7 |
4.3% | -21.8% | 0.58 | 0.20 | 2.3x | 8 | 1% |
| Supertrend period=15, mult=3 |
15.4% | -63.8% | 0.58 | 0.24 | 16.8x | 138 | 55% |
| ADX / DI 방향성 period=11, threshold=38 |
9.7% | -59.0% | 0.57 | 0.16 | 6.2x | 82 | 14% |
| ROC 모멘텀 n=18, threshold=-0.07 |
13.8% | -66.6% | 0.52 | 0.21 | 12.9x | 360 | 77% |
| MACD fast=13, slow=22, signal=6 |
12.1% | -69.0% | 0.51 | 0.18 | 9.5x | 426 | 49% |
| 볼린저 밴드 돌파 n=18, k=1.9 |
10.1% | -61.6% | 0.48 | 0.16 | 6.7x | 202 | 31% |
| EMA 크로스오버 fast=12, slow=27 |
8.9% | -69.7% | 0.42 | 0.13 | 5.4x | 170 | 55% |
| SMA 크로스오버 fast=78, slow=101 |
8.8% | -78.5% | 0.42 | 0.11 | 5.3x | 61 | 57% |
| Parabolic SAR step=0.015, maxStep=0.24 |
5.4% | -81.8% | 0.33 | 0.07 | 2.8x | 322 | 52% |
| Buy and hold | 24.9% | -86.2% | 0.70 | 0.29 | 81.0x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 47 days