Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Castech Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Castech Inc. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.4%, MDD -48.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.2%, drawdown -79.9%).
Sharpe leader (same as main): Supertrend — CAGR 13.4%, MDD -48.8%, Sharpe 0.55, 48% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 13.4%, MDD -48.8%, exposure 48%).
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=26, mult=2 |
13.4% | -48.8% | 0.55 | 0.28 | 10.2x | 211 | 48% |
| Donchian 채널 돌파 entryN=5, exitN=76 |
12.9% | -70.6% | 0.50 | 0.18 | 9.5x | 55 | 91% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=1.5 |
9.3% | -42.1% | 0.46 | 0.22 | 5.2x | 154 | 27% |
| 볼린저 밴드 돌파 n=32, k=1.9 |
9.4% | -52.3% | 0.46 | 0.18 | 5.3x | 112 | 32% |
| MACD fast=11, slow=46, signal=14 |
9.8% | -64.4% | 0.45 | 0.15 | 5.6x | 245 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
9.2% | -69.1% | 0.43 | 0.13 | 5.1x | 297 | 49% |
| ROC 모멘텀 n=142, threshold=-0.04 |
7.5% | -66.9% | 0.39 | 0.11 | 3.8x | 155 | 69% |
| ADX / DI 방향성 period=16, threshold=30 |
4.9% | -54.1% | 0.32 | 0.09 | 2.4x | 62 | 18% |
| SMA 크로스오버 fast=50, slow=75 |
4.7% | -73.5% | 0.32 | 0.06 | 2.3x | 74 | 54% |
| EMA 크로스오버 fast=50, slow=75 |
3.0% | -85.3% | 0.28 | 0.04 | 1.7x | 48 | 58% |
| Buy and hold | 12.2% | -79.9% | 0.49 | 0.15 | 8.3x | 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) — 26-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)