Trend-Following Backtester · Guide · backtest 한국어
equity · NL
ASM International N.V. backtest
10 trend-following strategies were compared on the full daily history of ASM International N.V.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 23.4%, MDD -44.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 20.4%, drawdown -87.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 26.3%, MDD -58.9%, Sharpe 0.77, 79% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 23.4%, MDD -44.7%, exposure 63%).
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=74 |
26.3% | -58.9% | 0.77 | 0.45 | 640.2x | 58 | 79% |
| ROC 모멘텀 n=55, threshold=-0.02 |
23.4% | -44.7% | 0.75 | 0.52 | 333.2x | 262 | 63% |
| Supertrend period=17, mult=4.5 |
21.4% | -53.1% | 0.73 | 0.40 | 212.4x | 106 | 57% |
| SMA 크로스오버 fast=27, slow=77 |
21.8% | -58.2% | 0.72 | 0.37 | 233.5x | 86 | 60% |
| 볼린저 밴드 돌파 n=39, k=0.9 |
17.9% | -61.8% | 0.66 | 0.29 | 95.2x | 214 | 50% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=23, mult=2.2 |
15.1% | -65.4% | 0.65 | 0.23 | 48.7x | 158 | 38% |
| EMA 크로스오버 fast=47, slow=70 |
18.2% | -55.4% | 0.64 | 0.33 | 101.2x | 59 | 61% |
| ADX / DI 방향성 period=30, threshold=6 |
13.1% | -67.9% | 0.53 | 0.19 | 30.2x | 390 | 55% |
| MACD fast=14, slow=64, signal=2 |
10.0% | -77.5% | 0.44 | 0.13 | 14.1x | 806 | 52% |
| Parabolic SAR step=0.045, maxStep=0.14 |
6.5% | -75.9% | 0.35 | 0.09 | 5.7x | 808 | 55% |
| Buy and hold | 20.4% | -87.1% | 0.61 | 0.23 | 171.1x | 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 74 days