Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Alchip Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Alchip Technologies Ltd.. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 36.2%, MDD -44.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 37.7%, drawdown -83.0%).
Sharpe leader (same as main): Supertrend — CAGR 51.6%, MDD -58.8%, Sharpe 1.16, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 36.2%, MDD -44.1%, exposure 39%).
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=12, mult=4.5 |
51.6% | -58.8% | 1.16 | 0.88 | 313.4x | 42 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.8 |
38.0% | -64.7% | 1.08 | 0.59 | 86.0x | 32 | 36% |
| 볼린저 밴드 돌파 n=56, k=1.4 |
42.1% | -53.9% | 1.07 | 0.78 | 128.5x | 58 | 48% |
| Donchian 채널 돌파 entryN=111, exitN=26 |
36.2% | -44.1% | 1.03 | 0.82 | 71.7x | 24 | 39% |
| ROC 모멘텀 n=41, threshold=0.06 |
38.9% | -62.3% | 1.01 | 0.62 | 93.6x | 184 | 49% |
| EMA 크로스오버 fast=10, slow=46 |
40.9% | -56.0% | 0.99 | 0.73 | 113.8x | 70 | 58% |
| SMA 크로스오버 fast=23, slow=58 |
39.2% | -67.6% | 0.97 | 0.58 | 96.9x | 48 | 58% |
| ADX / DI 방향성 period=17, threshold=17 |
35.5% | -64.9% | 0.95 | 0.55 | 66.8x | 146 | 51% |
| MACD fast=29, slow=44, signal=17 |
26.6% | -56.6% | 0.79 | 0.47 | 25.9x | 122 | 53% |
| Parabolic SAR step=0.015, maxStep=0.24 |
25.4% | -56.2% | 0.76 | 0.45 | 22.7x | 218 | 54% |
| Buy and hold | 37.7% | -83.0% | 0.85 | 0.45 | 83.1x | 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) — 12-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)