Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Powertech Technology Inc. backtest
10 trend-following strategies were compared on the full daily history of Powertech Technology Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -51.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -70.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.5%, MDD -57.4%, Sharpe 0.46, 91% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 13.0%p (CAGR 8.6%, MDD -51.4%, exposure 57%).
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=6, exitN=79 |
10.5% | -57.4% | 0.46 | 0.18 | 8.8x | 69 | 91% |
| SMA 크로스오버 fast=53, slow=116 |
8.6% | -51.4% | 0.43 | 0.17 | 6.1x | 47 | 57% |
| MACD fast=37, slow=57, signal=13 |
7.2% | -60.7% | 0.40 | 0.12 | 4.6x | 186 | 53% |
| ROC 모멘텀 n=72, threshold=-0.06 |
6.7% | -56.3% | 0.37 | 0.12 | 4.1x | 183 | 73% |
| EMA 크로스오버 fast=67, slow=115 |
6.1% | -48.2% | 0.35 | 0.13 | 3.7x | 37 | 58% |
| Supertrend period=22, mult=4 |
5.0% | -65.1% | 0.32 | 0.08 | 2.9x | 98 | 56% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=2.6 |
3.8% | -60.2% | 0.28 | 0.06 | 2.2x | 84 | 31% |
| 볼린저 밴드 돌파 n=51, k=1.3 |
3.3% | -69.0% | 0.26 | 0.05 | 2.0x | 128 | 43% |
| ADX / DI 방향성 period=46, threshold=30 |
1.0% | -18.4% | 0.24 | 0.05 | 1.2x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.4 |
2.4% | -73.9% | 0.22 | 0.03 | 1.7x | 171 | 54% |
| Buy and hold | 9.6% | -70.4% | 0.43 | 0.14 | 7.3x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 79 days