Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Solar Applied Materials Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Solar Applied Materials Technology Corp.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -26.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.8%, drawdown -87.2%).
Sharpe leader (same as main): Supertrend — CAGR 13.0%, MDD -55.2%, Sharpe 0.55, 60% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 6.2%, MDD -26.8%, exposure 4%).
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=10, mult=4.6 |
13.0% | -55.2% | 0.55 | 0.24 | 9.7x | 52 | 60% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
7.6% | -32.3% | 0.52 | 0.24 | 3.9x | 24 | 8% |
| Donchian 채널 돌파 entryN=8, exitN=76 |
11.7% | -56.0% | 0.49 | 0.21 | 7.8x | 52 | 86% |
| ADX / DI 방향성 period=16, threshold=26 |
8.5% | -41.9% | 0.49 | 0.20 | 4.6x | 90 | 21% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=4 |
6.2% | -26.8% | 0.47 | 0.23 | 3.0x | 22 | 4% |
| SMA 크로스오버 fast=53, slow=136 |
9.1% | -58.3% | 0.45 | 0.16 | 5.0x | 37 | 50% |
| MACD fast=16, slow=39, signal=13 |
7.9% | -69.1% | 0.41 | 0.11 | 4.1x | 246 | 51% |
| ROC 모멘텀 n=41, threshold=0.12 |
4.6% | -67.0% | 0.31 | 0.07 | 2.3x | 178 | 19% |
| EMA 크로스오버 fast=56, slow=124 |
4.0% | -63.7% | 0.28 | 0.06 | 2.1x | 31 | 58% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.5% | -69.2% | 0.20 | 0.02 | 1.3x | 124 | 48% |
| Buy and hold | 4.8% | -87.2% | 0.32 | 0.05 | 2.4x | 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) — 10-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)