Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Elite Advanced Laser Corporation backtest
10 trend-following strategies were compared on the full daily history of Elite Advanced Laser Corporation. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.9%, MDD -48.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 16.7%, drawdown -86.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.9%, MDD -59.1%, Sharpe 0.77, 52% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 23.9%, MDD -52.3%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 17.9%, MDD -48.6%, exposure 42%).
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=7, slow=195 |
23.9% | -59.1% | 0.77 | 0.40 | 78.5x | 47 | 52% |
| EMA 크로스오버 fast=56, slow=128 |
23.9% | -52.3% | 0.77 | 0.46 | 78.8x | 23 | 52% |
| Donchian 채널 돌파 entryN=112, exitN=65 |
21.6% | -76.7% | 0.73 | 0.28 | 54.0x | 25 | 46% |
| ROC 모멘텀 n=131, threshold=-0.04 |
19.9% | -74.1% | 0.67 | 0.27 | 40.7x | 147 | 59% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
17.9% | -48.6% | 0.67 | 0.37 | 28.6x | 115 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=1.8 |
17.0% | -65.4% | 0.65 | 0.26 | 24.5x | 115 | 38% |
| ADX / DI 방향성 period=29, threshold=21 |
12.0% | -51.5% | 0.57 | 0.23 | 10.1x | 58 | 23% |
| Supertrend period=8, mult=5 |
14.1% | -81.7% | 0.54 | 0.17 | 14.7x | 63 | 55% |
| MACD fast=21, slow=44, signal=11 |
12.9% | -76.2% | 0.53 | 0.17 | 11.9x | 225 | 50% |
| Parabolic SAR step=0.005, maxStep=0.18 |
8.6% | -76.5% | 0.42 | 0.11 | 5.4x | 151 | 49% |
| Buy and hold | 16.7% | -86.7% | 0.57 | 0.19 | 23.2x | 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 7-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 7-day average falls below the 195-day average