Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bel Fuse Inc. backtest
10 trend-following strategies were compared on the full daily history of Bel Fuse Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.4%, drawdown -89.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.6%, MDD -90.9%, Sharpe 0.45, 71% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=24, exitN=55 |
10.6% | -90.9% | 0.45 | 0.12 | 72.8x | 120 | 71% |
| Supertrend period=23, mult=4.3 |
9.0% | -94.6% | 0.41 | 0.09 | 39.0x | 184 | 55% |
| SMA 크로스오버 fast=35, slow=148 |
8.2% | -74.6% | 0.40 | 0.11 | 28.9x | 89 | 52% |
| EMA 크로스오버 fast=38, slow=87 |
8.1% | -85.9% | 0.39 | 0.09 | 27.6x | 99 | 53% |
| MACD fast=37, slow=79, signal=37 |
5.8% | -89.9% | 0.34 | 0.06 | 10.9x | 220 | 53% |
| ADX / DI 방향성 period=32, threshold=19 |
5.7% | -75.4% | 0.34 | 0.08 | 10.7x | 132 | 22% |
| 볼린저 밴드 돌파 n=48, k=3.3 |
3.2% | -77.4% | 0.25 | 0.04 | 3.9x | 68 | 14% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=20, mult=1.6 |
2.5% | -96.7% | 0.24 | 0.03 | 2.9x | 258 | 41% |
| ROC 모멘텀 n=149, threshold=0.06 |
0.4% | -97.1% | 0.19 | 0.00 | 1.2x | 347 | 47% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-3.1% | -98.4% | 0.12 | -0.03 | 0.3x | 736 | 50% |
| Buy and hold | 10.4% | -89.9% | 0.46 | 0.12 | 68.3x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 55 days