Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Fositek Corp. backtest
10 trend-following strategies were compared on the full daily history of Fositek Corp.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 86.3%, MDD -37.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 77.5%, drawdown -65.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 61.6%, MDD -22.2%, Sharpe 1.63, 23% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 91.6%, MDD -45.0%, exposure 65%.
Return/drawdown alternative: MACD — CAGR is 15.9%p lower than buy and hold, while drawdown improves by 43.7%p (CAGR 86.3%, MDD -37.4%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=19, k=2.7 |
61.6% | -22.2% | 1.63 | 2.78 | 16.0x | 23 | 23% |
| MACD fast=19, slow=30, signal=13 |
86.3% | -37.4% | 1.60 | 2.30 | 36.3x | 57 | 49% |
| ROC 모멘텀 n=18, threshold=-0.04 |
91.6% | -45.0% | 1.57 | 2.04 | 42.7x | 111 | 65% |
| SMA 크로스오버 fast=10, slow=22 |
81.3% | -48.1% | 1.51 | 1.69 | 31.1x | 59 | 56% |
| ADX / DI 방향성 period=7, threshold=33 |
67.1% | -39.0% | 1.49 | 1.72 | 19.4x | 83 | 38% |
| Supertrend period=9, mult=3.6 |
80.1% | -46.4% | 1.42 | 1.73 | 29.9x | 25 | 71% |
| Donchian 채널 돌파 entryN=18, exitN=65 |
84.6% | -52.8% | 1.39 | 1.60 | 34.5x | 13 | 84% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=2.1 |
65.3% | -43.4% | 1.39 | 1.50 | 18.2x | 27 | 46% |
| EMA 크로스오버 fast=14, slow=21 |
70.2% | -53.6% | 1.37 | 1.31 | 21.6x | 39 | 60% |
| Parabolic SAR step=0.02, maxStep=0.34 |
51.2% | -55.9% | 1.15 | 0.92 | 10.9x | 111 | 55% |
| Buy and hold | 77.5% | -65.8% | 1.26 | 1.18 | 27.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 19-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 19-day middle average