Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Voltronic Power Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Voltronic Power Technology Corp.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.8%, MDD -40.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.1%, drawdown -72.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.8%, MDD -40.1%, Sharpe 0.67, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 16.8%, MDD -40.1%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=60, slow=125 |
16.8% | -40.1% | 0.67 | 0.42 | 8.0x | 23 | 66% |
| EMA 크로스오버 fast=49, slow=60 |
14.9% | -50.0% | 0.62 | 0.30 | 6.4x | 25 | 67% |
| Donchian 채널 돌파 entryN=24, exitN=67 |
14.6% | -58.3% | 0.58 | 0.25 | 6.2x | 31 | 80% |
| ROC 모멘텀 n=125, threshold=-0.04 |
12.9% | -48.8% | 0.55 | 0.26 | 5.1x | 90 | 73% |
| Supertrend period=10, mult=5 |
10.9% | -54.5% | 0.50 | 0.20 | 4.0x | 36 | 65% |
| ADX / DI 방향성 period=31, threshold=13 |
6.6% | -50.8% | 0.38 | 0.13 | 2.3x | 97 | 49% |
| 볼린저 밴드 돌파 n=14, k=2.2 |
5.8% | -29.1% | 0.38 | 0.20 | 2.1x | 124 | 25% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.6% | -41.1% | 0.37 | 0.16 | 2.3x | 108 | 55% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=1.6 |
4.6% | -38.6% | 0.31 | 0.12 | 1.8x | 92 | 44% |
| MACD fast=9, slow=33, signal=10 |
3.0% | -77.0% | 0.25 | 0.04 | 1.5x | 240 | 47% |
| Buy and hold | 20.1% | -72.0% | 0.68 | 0.28 | 11.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 60-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 60-day average falls below the 125-day average