Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Solar, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Solar, Inc.. 6 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 13.1%, MDD -49.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.2%, drawdown -96.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.2%, MDD -78.9%, Sharpe 0.66, 75% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 13.1%, MDD -49.6%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=71 |
23.2% | -78.9% | 0.66 | 0.29 | 61.6x | 43 | 75% |
| EMA 크로스오버 fast=47, slow=55 |
16.2% | -69.1% | 0.56 | 0.23 | 19.5x | 44 | 54% |
| SMA 크로스오버 fast=21, slow=129 |
14.6% | -62.8% | 0.53 | 0.23 | 14.9x | 41 | 53% |
| 볼린저 밴드 돌파 n=49, k=1.8 |
13.1% | -49.6% | 0.52 | 0.26 | 11.4x | 92 | 36% |
| ROC 모멘텀 n=109, threshold=0 |
14.0% | -63.6% | 0.52 | 0.22 | 13.4x | 123 | 54% |
| Supertrend period=22, mult=4.4 |
12.1% | -65.1% | 0.48 | 0.19 | 9.5x | 74 | 45% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=2 |
11.0% | -62.7% | 0.47 | 0.18 | 7.9x | 100 | 38% |
| ADX / DI 방향성 period=26, threshold=19 |
10.0% | -63.4% | 0.46 | 0.16 | 6.6x | 94 | 26% |
| MACD fast=15, slow=65, signal=52 |
7.6% | -81.6% | 0.38 | 0.09 | 4.2x | 132 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.5% | -82.9% | 0.31 | 0.05 | 2.4x | 176 | 51% |
| Buy and hold | 11.2% | -96.2% | 0.47 | 0.12 | 8.1x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 71 days