Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Asmedia Technology Inc. backtest
10 trend-following strategies were compared on the full daily history of Asmedia Technology Inc.. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 31.1%, MDD -44.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 22.6%, drawdown -76.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.2%, MDD -52.2%, Sharpe 0.94, 19% exposure.
CAGR reference leader: Supertrend — CAGR 31.1%, MDD -44.3%, exposure 54%.
Return/drawdown alternative: Supertrend — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 31.1%, MDD -44.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=19, mult=3.5 |
23.2% | -52.2% | 0.94 | 0.44 | 18.2x | 32 | 19% |
| Supertrend period=11, mult=3 |
31.1% | -44.3% | 0.90 | 0.70 | 43.4x | 86 | 54% |
| SMA 크로스오버 fast=55, slow=95 |
26.3% | -50.3% | 0.78 | 0.52 | 25.6x | 39 | 53% |
| 볼린저 밴드 돌파 n=31, k=1.4 |
22.9% | -57.0% | 0.77 | 0.40 | 17.6x | 108 | 40% |
| Donchian 채널 돌파 entryN=7, exitN=67 |
26.1% | -69.6% | 0.73 | 0.38 | 25.2x | 49 | 85% |
| ADX / DI 방향성 period=23, threshold=32 |
11.9% | -40.6% | 0.72 | 0.29 | 4.8x | 24 | 9% |
| Parabolic SAR step=0.005, maxStep=0.38 |
21.3% | -55.4% | 0.70 | 0.38 | 14.6x | 112 | 51% |
| ROC 모멘텀 n=28, threshold=-0.09 |
20.9% | -60.0% | 0.65 | 0.35 | 13.9x | 189 | 72% |
| EMA 크로스오버 fast=11, slow=120 |
17.8% | -64.0% | 0.61 | 0.28 | 9.8x | 49 | 60% |
| MACD fast=19, slow=48, signal=12 |
16.5% | -50.8% | 0.60 | 0.33 | 8.4x | 169 | 52% |
| Buy and hold | 22.6% | -76.9% | 0.66 | 0.29 | 17.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 28-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average