Trend-Following Backtester · Guide · backtest 한국어
equity · FR
X-FAB Silicon Foundries SE backtest
10 trend-following strategies were compared on the full daily history of X-FAB Silicon Foundries SE. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.3%, MDD -27.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.5%, drawdown -82.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.8%, MDD -28.2%, Sharpe 0.69, 12% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 14.3%, MDD -27.9%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=3 |
14.8% | -28.2% | 0.69 | 0.53 | 3.6x | 12 | 12% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=3.2 |
14.3% | -27.9% | 0.69 | 0.51 | 3.5x | 16 | 15% |
| Donchian 채널 돌파 entryN=80, exitN=10 |
14.4% | -32.8% | 0.66 | 0.44 | 3.5x | 22 | 17% |
| ADX / DI 방향성 period=18, threshold=29 |
10.6% | -40.9% | 0.52 | 0.26 | 2.6x | 20 | 11% |
| EMA 크로스오버 fast=8, slow=143 |
11.3% | -47.2% | 0.48 | 0.24 | 2.7x | 22 | 39% |
| Parabolic SAR step=0.02, maxStep=0.06 |
10.8% | -63.0% | 0.46 | 0.17 | 2.6x | 128 | 49% |
| MACD fast=20, slow=71, signal=12 |
9.5% | -63.8% | 0.42 | 0.15 | 2.3x | 98 | 51% |
| Supertrend period=14, mult=2.5 |
8.1% | -58.0% | 0.39 | 0.14 | 2.1x | 80 | 48% |
| SMA 크로스오버 fast=16, slow=118 |
7.1% | -48.2% | 0.37 | 0.15 | 1.9x | 27 | 44% |
| ROC 모멘텀 n=122, threshold=0.03 |
6.9% | -48.1% | 0.36 | 0.14 | 1.9x | 79 | 40% |
| Buy and hold | -2.5% | -82.6% | 0.20 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (3× volatility)
- Sell — Sell when the close falls back to the 40-day middle average