Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Topco Scientific Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Topco Scientific Co., Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 17.0%, drawdown -82.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.0%, MDD -66.6%, Sharpe 0.71, 91% 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=10, exitN=102 |
18.0% | -66.6% | 0.71 | 0.27 | 77.1x | 43 | 91% |
| SMA 크로스오버 fast=44, slow=115 |
12.5% | -47.8% | 0.62 | 0.26 | 22.0x | 55 | 56% |
| ROC 모멘텀 n=92, threshold=-0.07 |
12.5% | -54.9% | 0.59 | 0.23 | 22.2x | 177 | 78% |
| Supertrend period=7, mult=4.2 |
11.9% | -71.6% | 0.59 | 0.17 | 19.1x | 81 | 62% |
| EMA 크로스오버 fast=16, slow=113 |
11.5% | -52.6% | 0.57 | 0.22 | 17.6x | 67 | 68% |
| MACD fast=17, slow=64, signal=19 |
9.2% | -67.0% | 0.51 | 0.14 | 10.0x | 206 | 48% |
| Parabolic SAR step=0.01, maxStep=0.2 |
9.2% | -69.0% | 0.50 | 0.13 | 10.2x | 253 | 59% |
| ADX / DI 방향성 period=36, threshold=31 |
3.7% | -33.8% | 0.42 | 0.11 | 2.6x | 14 | 17% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
5.4% | -46.4% | 0.40 | 0.12 | 4.0x | 66 | 29% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=1.2 |
6.6% | -58.3% | 0.40 | 0.11 | 5.4x | 218 | 47% |
| Buy and hold | 17.0% | -82.4% | 0.64 | 0.21 | 61.9x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 102 days