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.. 10 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 9.6%, MDD -47.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.2%, drawdown -81.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.4%, MDD -63.1%, Sharpe 0.58, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 9.6%, MDD -47.4%, 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 |
14.4% | -63.1% | 0.58 | 0.23 | 12.1x | 100 | 46% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=2.5 |
9.6% | -47.4% | 0.58 | 0.20 | 5.5x | 72 | 12% |
| SMA 크로스오버 fast=49, slow=202 |
14.0% | -72.7% | 0.55 | 0.19 | 11.4x | 17 | 48% |
| Supertrend period=20, mult=3 |
11.2% | -59.0% | 0.50 | 0.19 | 7.2x | 122 | 48% |
| 볼린저 밴드 돌파 n=23, k=1.3 |
10.5% | -50.8% | 0.50 | 0.21 | 6.4x | 190 | 35% |
| EMA 크로스오버 fast=44, slow=217 |
11.7% | -71.1% | 0.50 | 0.17 | 7.9x | 21 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
10.8% | -64.5% | 0.49 | 0.17 | 6.8x | 268 | 49% |
| ADX / DI 방향성 period=37, threshold=12 |
10.3% | -72.6% | 0.46 | 0.14 | 6.2x | 116 | 47% |
| ROC 모멘텀 n=141, threshold=0.05 |
10.3% | -75.5% | 0.46 | 0.14 | 6.2x | 124 | 45% |
| MACD fast=19, slow=41, signal=13 |
9.3% | -64.5% | 0.45 | 0.14 | 5.2x | 208 | 50% |
| Buy and hold | 6.2% | -81.6% | 0.36 | 0.08 | 3.1x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 19 days