Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aehr Test Systems backtest
10 trend-following strategies were compared on the full daily history of Aehr Test Systems. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.4%, MDD -27.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.9%, drawdown -98.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -85.8%, Sharpe 0.55, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 12.1%p (CAGR 6.4%, MDD -27.0%, exposure 2%).
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=36, exitN=68 |
16.3% | -85.8% | 0.55 | 0.19 | 80.7x | 59 | 59% |
| SMA 크로스오버 fast=19, slow=70 |
14.4% | -81.6% | 0.51 | 0.18 | 49.3x | 111 | 47% |
| ADX / DI 방향성 period=22, threshold=45 |
6.4% | -27.0% | 0.46 | 0.24 | 6.1x | 10 | 2% |
| Supertrend period=8, mult=5 |
7.9% | -91.9% | 0.43 | 0.09 | 9.2x | 83 | 54% |
| EMA 크로스오버 fast=37, slow=131 |
7.4% | -90.7% | 0.41 | 0.08 | 8.0x | 55 | 46% |
| ROC 모멘텀 n=69, threshold=-0.02 |
4.6% | -93.8% | 0.38 | 0.05 | 3.7x | 367 | 51% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=14, mult=2 |
2.8% | -89.7% | 0.29 | 0.03 | 2.3x | 150 | 27% |
| 볼린저 밴드 돌파 n=50, k=2.2 |
1.7% | -86.7% | 0.27 | 0.02 | 1.6x | 112 | 27% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.3% | -92.6% | 0.27 | -0.01 | 0.7x | 200 | 45% |
| MACD fast=23, slow=35, signal=17 |
-15.3% | -99.9% | 0.06 | -0.15 | 0.0x | 342 | 52% |
| Buy and hold | 5.9% | -98.0% | 0.49 | 0.06 | 5.3x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 68 days