Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Topoint Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Topoint Technology Co., Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.5%, MDD -35.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 13.1%, drawdown -76.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.4%, MDD -39.1%, Sharpe 0.76, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 16.5%, MDD -35.9%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=64, exitN=37 |
19.4% | -39.1% | 0.76 | 0.50 | 27.0x | 38 | 36% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
16.5% | -35.9% | 0.72 | 0.46 | 17.2x | 34 | 22% |
| SMA 크로스오버 fast=20, slow=132 |
16.7% | -62.7% | 0.65 | 0.27 | 17.7x | 43 | 50% |
| EMA 크로스오버 fast=34, slow=97 |
16.7% | -63.4% | 0.65 | 0.26 | 17.7x | 43 | 50% |
| ADX / DI 방향성 period=32, threshold=32 |
10.9% | -30.3% | 0.64 | 0.36 | 6.9x | 8 | 6% |
| ROC 모멘텀 n=116, threshold=0.01 |
15.5% | -69.2% | 0.62 | 0.22 | 14.5x | 171 | 48% |
| Supertrend period=4, mult=4.9 |
15.6% | -64.6% | 0.61 | 0.24 | 14.8x | 58 | 56% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=1.6 |
14.0% | -56.7% | 0.60 | 0.25 | 11.5x | 108 | 38% |
| Parabolic SAR step=0.025, maxStep=0.24 |
4.5% | -70.6% | 0.30 | 0.06 | 2.3x | 391 | 50% |
| MACD fast=14, slow=54, signal=17 |
-0.1% | -71.7% | 0.14 | -0.00 | 1.0x | 239 | 52% |
| Buy and hold | 13.1% | -76.6% | 0.51 | 0.17 | 9.9x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 37 days