Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Supreme Electronics Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Supreme Electronics Co., Ltd.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.0%, MDD -35.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.5%, drawdown -79.8%).
Sharpe leader (same as main): Supertrend — CAGR 19.5%, MDD -41.5%, Sharpe 0.79, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 13.0%, MDD -35.7%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=7, mult=4.5 |
19.5% | -41.5% | 0.79 | 0.47 | 27.4x | 58 | 57% |
| SMA 크로스오버 fast=10, slow=117 |
17.4% | -43.1% | 0.74 | 0.40 | 19.6x | 42 | 56% |
| EMA 크로스오버 fast=12, slow=126 |
16.7% | -42.0% | 0.72 | 0.40 | 17.5x | 40 | 55% |
| ADX / DI 방향성 period=26, threshold=17 |
13.0% | -35.7% | 0.66 | 0.36 | 9.6x | 94 | 36% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=32, mult=0.8 |
13.1% | -48.1% | 0.62 | 0.27 | 9.8x | 150 | 50% |
| Donchian 채널 돌파 entryN=14, exitN=34 |
14.0% | -53.4% | 0.61 | 0.26 | 11.4x | 84 | 69% |
| ROC 모멘텀 n=125, threshold=-0.02 |
13.4% | -58.4% | 0.60 | 0.23 | 10.3x | 109 | 58% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
10.1% | -44.2% | 0.54 | 0.23 | 5.9x | 96 | 40% |
| Parabolic SAR step=0.005, maxStep=0.16 |
9.9% | -42.6% | 0.51 | 0.23 | 5.8x | 134 | 51% |
| MACD fast=15, slow=38, signal=10 |
5.6% | -57.3% | 0.35 | 0.10 | 2.7x | 254 | 51% |
| Buy and hold | 10.5% | -79.8% | 0.46 | 0.13 | 6.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 7-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)