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 17.8%, MDD -46.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.7%, drawdown -71.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.8%, MDD -55.7%, Sharpe 0.71, 75% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 15.4%p (CAGR 17.8%, 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 |
19.8% | -55.7% | 0.71 | 0.35 | 28.3x | 27 | 75% |
| SMA 크로스오버 fast=45, slow=206 |
17.8% | -46.7% | 0.68 | 0.38 | 20.7x | 29 | 60% |
| EMA 크로스오버 fast=47, slow=155 |
16.4% | -50.3% | 0.64 | 0.33 | 16.7x | 21 | 57% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=22, mult=2.9 |
12.4% | -50.9% | 0.60 | 0.24 | 8.8x | 58 | 31% |
| ADX / DI 방향성 period=38, threshold=4 |
13.7% | -67.3% | 0.57 | 0.20 | 10.7x | 170 | 61% |
| Supertrend period=16, mult=2.8 |
12.3% | -73.6% | 0.55 | 0.17 | 8.6x | 134 | 51% |
| 볼린저 밴드 돌파 n=46, k=1.5 |
10.1% | -68.3% | 0.50 | 0.15 | 6.0x | 108 | 38% |
| ROC 모멘텀 n=146, threshold=0.05 |
10.5% | -68.9% | 0.49 | 0.15 | 6.3x | 157 | 50% |
| MACD fast=18, slow=47, signal=19 |
5.8% | -80.4% | 0.34 | 0.07 | 2.8x | 180 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
5.6% | -59.0% | 0.33 | 0.09 | 2.7x | 288 | 52% |
| Buy and hold | 13.7% | -71.2% | 0.53 | 0.19 | 10.8x | 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