Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Innolux Corp. backtest
10 trend-following strategies were compared on the full daily history of Innolux Corp.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.1%, MDD -40.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.0%, drawdown -96.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.6%, MDD -66.9%, Sharpe 0.61, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 6.1%, MDD -40.8%, exposure 6%).
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=46, exitN=53 |
15.6% | -66.9% | 0.61 | 0.23 | 17.8x | 39 | 53% |
| 볼린저 밴드 돌파 n=42, k=1.5 |
13.7% | -51.2% | 0.60 | 0.27 | 12.7x | 100 | 32% |
| Supertrend period=27, mult=5 |
13.0% | -60.4% | 0.56 | 0.21 | 11.3x | 60 | 44% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=2.2 |
11.9% | -43.9% | 0.55 | 0.27 | 9.2x | 86 | 31% |
| EMA 크로스오버 fast=31, slow=43 |
12.7% | -67.1% | 0.54 | 0.19 | 10.7x | 72 | 45% |
| ROC 모멘텀 n=120, threshold=0.03 |
11.2% | -67.1% | 0.51 | 0.17 | 8.2x | 107 | 41% |
| SMA 크로스오버 fast=18, slow=122 |
11.2% | -65.5% | 0.50 | 0.17 | 8.2x | 45 | 46% |
| MACD fast=21, slow=35, signal=10 |
10.4% | -70.9% | 0.47 | 0.15 | 7.1x | 236 | 51% |
| ADX / DI 방향성 period=49, threshold=23 |
6.1% | -40.8% | 0.42 | 0.15 | 3.2x | 10 | 6% |
| Parabolic SAR step=0.03, maxStep=0.1 |
2.5% | -85.4% | 0.24 | 0.03 | 1.6x | 406 | 46% |
| Buy and hold | -1.0% | -96.7% | 0.20 | -0.01 | 0.8x | 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 46 days
- Sell — Sell when price breaks below the lowest low of the last 53 days