Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Fulltech Fiber Glass Corp. backtest
10 trend-following strategies were compared on the full daily history of Fulltech Fiber Glass Corp.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.3%, MDD -49.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.1%, drawdown -81.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.1%, MDD -63.1%, Sharpe 0.63, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 10.3%, MDD -49.2%, exposure 12%).
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=20, exitN=19 |
16.1% | -63.1% | 0.63 | 0.26 | 16.3x | 101 | 47% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=2.5 |
10.3% | -49.2% | 0.61 | 0.21 | 6.2x | 73 | 12% |
| EMA 크로스오버 fast=44, slow=217 |
15.8% | -71.1% | 0.59 | 0.22 | 15.4x | 21 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
14.1% | -64.5% | 0.58 | 0.22 | 11.7x | 269 | 50% |
| Supertrend period=20, mult=3 |
13.9% | -59.0% | 0.58 | 0.24 | 11.4x | 123 | 48% |
| SMA 크로스오버 fast=49, slow=202 |
14.7% | -72.7% | 0.57 | 0.20 | 12.9x | 18 | 48% |
| 볼린저 밴드 돌파 n=23, k=1.3 |
12.0% | -50.8% | 0.54 | 0.24 | 8.3x | 191 | 35% |
| MACD fast=19, slow=41, signal=13 |
11.9% | -64.5% | 0.52 | 0.18 | 8.1x | 209 | 50% |
| ROC 모멘텀 n=141, threshold=0.05 |
11.6% | -75.5% | 0.50 | 0.15 | 7.8x | 127 | 45% |
| ADX / DI 방향성 period=37, threshold=12 |
9.8% | -74.4% | 0.45 | 0.13 | 5.8x | 123 | 47% |
| Buy and hold | 10.1% | -81.6% | 0.44 | 0.12 | 6.0x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 19 days