Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chenbro Micom Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chenbro Micom Co., Ltd.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.2%, MDD -45.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 23.6%, drawdown -65.8%).
Sharpe leader (same as main): Supertrend — CAGR 24.1%, MDD -49.0%, Sharpe 0.90, 51% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.2%, MDD -47.5%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 23.2%, MDD -45.8%, exposure 55%).
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=18, mult=3 |
24.1% | -49.0% | 0.90 | 0.49 | 56.0x | 114 | 51% |
| SMA 크로스오버 fast=77, slow=200 |
25.2% | -47.5% | 0.86 | 0.53 | 66.0x | 21 | 56% |
| ADX / DI 방향성 period=14, threshold=7 |
23.2% | -45.8% | 0.85 | 0.51 | 49.4x | 298 | 55% |
| 볼린저 밴드 돌파 n=52, k=1.5 |
20.6% | -43.2% | 0.83 | 0.48 | 33.1x | 80 | 39% |
| ROC 모멘텀 n=144, threshold=-0.01 |
24.1% | -49.1% | 0.83 | 0.49 | 56.6x | 109 | 59% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=2.1 |
20.3% | -39.7% | 0.82 | 0.51 | 31.6x | 84 | 39% |
| Donchian 채널 돌파 entryN=12, exitN=27 |
23.3% | -52.3% | 0.82 | 0.45 | 49.8x | 105 | 66% |
| MACD fast=15, slow=41, signal=14 |
19.5% | -50.4% | 0.79 | 0.39 | 27.7x | 212 | 50% |
| EMA 크로스오버 fast=11, slow=70 |
21.3% | -48.9% | 0.78 | 0.44 | 36.6x | 80 | 55% |
| Parabolic SAR step=0.005, maxStep=0.28 |
17.8% | -48.6% | 0.72 | 0.37 | 21.3x | 132 | 51% |
| Buy and hold | 23.6% | -65.8% | 0.74 | 0.36 | 51.9x | 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) — 18-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)