Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Jentech Precision Industrial Co., Ltd backtest
10 trend-following strategies were compared on the full daily history of Jentech Precision Industrial Co., Ltd. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.8%, drawdown -82.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.7%, MDD -75.8%, Sharpe 0.71, 84% 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=11, exitN=80 |
23.7% | -75.8% | 0.71 | 0.31 | 35.4x | 47 | 84% |
| SMA 크로스오버 fast=11, slow=31 |
20.0% | -55.5% | 0.70 | 0.36 | 21.4x | 131 | 55% |
| ROC 모멘텀 n=136, threshold=0.01 |
20.4% | -63.3% | 0.68 | 0.32 | 22.4x | 109 | 60% |
| EMA 크로스오버 fast=71, slow=79 |
20.6% | -68.9% | 0.68 | 0.30 | 23.2x | 27 | 60% |
| ADX / DI 방향성 period=28, threshold=11 |
18.1% | -58.5% | 0.65 | 0.31 | 16.3x | 175 | 55% |
| 볼린저 밴드 돌파 n=49, k=2.3 |
15.2% | -37.7% | 0.65 | 0.40 | 10.8x | 53 | 30% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=1 |
15.6% | -45.3% | 0.60 | 0.34 | 11.3x | 155 | 48% |
| Supertrend period=24, mult=2.7 |
15.7% | -55.3% | 0.60 | 0.28 | 11.6x | 145 | 53% |
| MACD fast=7, slow=27, signal=12 |
14.1% | -58.7% | 0.57 | 0.24 | 9.1x | 329 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
13.8% | -70.4% | 0.56 | 0.20 | 8.8x | 321 | 51% |
| Buy and hold | 27.8% | -82.6% | 0.76 | 0.34 | 61.7x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 80 days