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.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 55.4%, MDD -22.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 63.0%, drawdown -65.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 55.4%, MDD -22.2%, Sharpe 1.55, 22% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 78.9%, MDD -45.0%, exposure 65%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p lower than buy and hold, while drawdown improves by 43.7%p (CAGR 55.4%, MDD -22.2%, exposure 22%).
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 |
55.4% | -22.2% | 1.55 | 2.50 | 12.3x | 22 | 22% |
| MACD fast=19, slow=30, signal=13 |
73.8% | -37.4% | 1.47 | 1.97 | 23.3x | 56 | 48% |
| ROC 모멘텀 n=18, threshold=-0.04 |
78.9% | -45.0% | 1.45 | 1.75 | 27.4x | 110 | 65% |
| ADX / DI 방향성 period=7, threshold=33 |
63.4% | -39.0% | 1.45 | 1.63 | 16.4x | 80 | 38% |
| SMA 크로스오버 fast=10, slow=22 |
71.7% | -48.1% | 1.41 | 1.49 | 21.7x | 58 | 56% |
| Supertrend period=9, mult=3.6 |
73.4% | -46.4% | 1.36 | 1.58 | 23.0x | 24 | 71% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=2.1 |
61.5% | -43.4% | 1.34 | 1.42 | 15.3x | 26 | 46% |
| Donchian 채널 돌파 entryN=18, exitN=65 |
74.7% | -52.8% | 1.30 | 1.41 | 23.9x | 12 | 84% |
| EMA 크로스오버 fast=14, slow=21 |
62.2% | -53.6% | 1.28 | 1.16 | 15.7x | 38 | 59% |
| Parabolic SAR step=0.02, maxStep=0.34 |
43.2% | -55.9% | 1.03 | 0.77 | 7.7x | 108 | 55% |
| Buy and hold | 63.0% | -65.8% | 1.12 | 0.96 | 16.1x | 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