Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Capital Securities Corp. backtest
10 trend-following strategies were compared on the full daily history of Capital Securities Corp.. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 9.3%, MDD -41.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.2%, drawdown -76.8%).
Sharpe leader (same as main): MACD — CAGR 9.3%, MDD -41.2%, Sharpe 0.54, 61% exposure.
CAGR reference leader: Supertrend — CAGR 9.5%, MDD -47.9%, exposure 43%.
Return/drawdown alternative: MACD — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 9.3%, MDD -41.2%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=46, signal=12 |
9.3% | -41.2% | 0.54 | 0.23 | 10.6x | 234 | 61% |
| Supertrend period=6, mult=3.3 |
9.5% | -47.9% | 0.53 | 0.20 | 11.0x | 122 | 43% |
| 볼린저 밴드 돌파 n=22, k=1.7 |
7.0% | -46.0% | 0.48 | 0.15 | 6.0x | 186 | 28% |
| Parabolic SAR step=0.005, maxStep=0.3 |
7.1% | -53.0% | 0.44 | 0.13 | 6.2x | 142 | 39% |
| Donchian 채널 돌파 entryN=23, exitN=6 |
5.1% | -41.3% | 0.39 | 0.12 | 3.7x | 188 | 44% |
| SMA 크로스오버 fast=7, slow=73 |
5.6% | -53.5% | 0.37 | 0.10 | 4.3x | 108 | 42% |
| ADX / DI 방향성 period=8, threshold=28 |
5.0% | -49.1% | 0.36 | 0.10 | 3.7x | 316 | 29% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=12, mult=1.5 |
4.5% | -56.9% | 0.34 | 0.08 | 3.2x | 162 | 29% |
| ROC 모멘텀 n=57, threshold=-0.07 |
4.7% | -70.8% | 0.31 | 0.07 | 3.4x | 231 | 80% |
| EMA 크로스오버 fast=28, slow=169 |
3.2% | -75.8% | 0.26 | 0.04 | 2.3x | 45 | 45% |
| Buy and hold | 5.2% | -76.8% | 0.32 | 0.07 | 3.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (16/46) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line