Trend-Following Backtester · Guide · backtest 한국어
equity · TW
ITEQ Corporation backtest
10 trend-following strategies were compared on the full daily history of ITEQ Corporation. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.4%, MDD -46.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.2%, drawdown -71.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.5%, MDD -55.7%, Sharpe 0.81, 76% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 15.4%p (CAGR 22.4%, MDD -46.7%, exposure 60%).
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=36, exitN=102 |
24.5% | -55.7% | 0.81 | 0.44 | 58.9x | 27 | 76% |
| SMA 크로스오버 fast=45, slow=206 |
22.4% | -46.7% | 0.79 | 0.48 | 43.2x | 29 | 60% |
| EMA 크로스오버 fast=47, slow=155 |
21.0% | -50.3% | 0.76 | 0.42 | 34.7x | 21 | 57% |
| ADX / DI 방향성 period=38, threshold=4 |
16.5% | -67.3% | 0.64 | 0.25 | 17.2x | 171 | 61% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=22, mult=2.9 |
13.9% | -50.9% | 0.64 | 0.27 | 11.2x | 59 | 32% |
| Supertrend period=16, mult=2.8 |
15.1% | -73.6% | 0.63 | 0.21 | 13.7x | 135 | 51% |
| ROC 모멘텀 n=146, threshold=0.05 |
14.9% | -68.9% | 0.61 | 0.22 | 13.2x | 157 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.5 |
11.5% | -68.3% | 0.54 | 0.17 | 7.6x | 109 | 38% |
| Parabolic SAR step=0.015, maxStep=0.2 |
8.8% | -59.0% | 0.44 | 0.15 | 4.8x | 289 | 52% |
| MACD fast=18, slow=47, signal=19 |
7.2% | -80.4% | 0.39 | 0.09 | 3.6x | 181 | 50% |
| Buy and hold | 18.2% | -71.2% | 0.62 | 0.26 | 22.5x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 102 days