Trend-Following Backtester · Guide · backtest 한국어
equity · SG
SIA Engineering Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of SIA Engineering Co. Ltd.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -11.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.5%, drawdown -71.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -53.1%, Sharpe 0.44, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 1.5%, MDD -11.4%, exposure 2%).
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=100, exitN=49 |
5.5% | -53.1% | 0.44 | 0.10 | 4.0x | 40 | 40% |
| SMA 크로스오버 fast=17, slow=181 |
4.5% | -61.1% | 0.35 | 0.07 | 3.2x | 64 | 55% |
| ADX / DI 방향성 period=30, threshold=38 |
1.5% | -11.4% | 0.35 | 0.13 | 1.5x | 8 | 2% |
| 볼린저 밴드 돌파 n=37, k=1.6 |
3.9% | -32.8% | 0.35 | 0.12 | 2.8x | 162 | 34% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=1.3 |
4.1% | -54.1% | 0.34 | 0.08 | 2.9x | 170 | 44% |
| EMA 크로스오버 fast=53, slow=92 |
4.0% | -65.8% | 0.32 | 0.06 | 2.8x | 60 | 55% |
| Supertrend period=10, mult=5 |
3.1% | -52.8% | 0.26 | 0.06 | 2.2x | 88 | 52% |
| ROC 모멘텀 n=138, threshold=0.1 |
2.6% | -42.0% | 0.26 | 0.06 | 2.0x | 150 | 30% |
| MACD fast=14, slow=46, signal=19 |
2.3% | -51.0% | 0.22 | 0.05 | 1.8x | 280 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
2.2% | -51.5% | 0.21 | 0.04 | 1.8x | 372 | 51% |
| Buy and hold | 1.5% | -71.6% | 0.18 | 0.02 | 1.5x | 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 100 days
- Sell — Sell when price breaks below the lowest low of the last 49 days