Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Soitec SA backtest
10 trend-following strategies were compared on the full daily history of Soitec SA. 10 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 16.7%, MDD -53.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.5%, drawdown -98.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.4%, MDD -58.6%, Sharpe 0.76, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.9%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 16.7%, MDD -53.1%, exposure 13%).
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=85, exitN=47 |
24.4% | -58.6% | 0.76 | 0.42 | 432.7x | 40 | 42% |
| ROC 모멘텀 n=97, threshold=0.13 |
23.2% | -67.1% | 0.74 | 0.35 | 332.3x | 185 | 37% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=16, mult=3.3 |
20.4% | -54.5% | 0.73 | 0.38 | 175.6x | 84 | 24% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
16.7% | -53.1% | 0.72 | 0.32 | 73.8x | 44 | 13% |
| EMA 크로스오버 fast=65, slow=69 |
22.3% | -79.7% | 0.69 | 0.28 | 268.2x | 47 | 49% |
| SMA 크로스오버 fast=16, slow=145 |
22.0% | -68.6% | 0.68 | 0.32 | 251.3x | 61 | 49% |
| ADX / DI 방향성 period=15, threshold=23 |
15.1% | -74.6% | 0.56 | 0.20 | 50.2x | 256 | 29% |
| Parabolic SAR step=0.015, maxStep=0.06 |
16.3% | -81.7% | 0.56 | 0.20 | 66.2x | 334 | 49% |
| Supertrend period=9, mult=3.7 |
15.5% | -86.3% | 0.54 | 0.18 | 55.4x | 141 | 51% |
| MACD fast=21, slow=56, signal=16 |
12.4% | -90.0% | 0.48 | 0.14 | 25.6x | 262 | 52% |
| Buy and hold | 5.5% | -98.4% | 0.41 | 0.06 | 4.4x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 47 days