Trend-Following Backtester · Guide · backtest 한국어
equity · TW
ADATA Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of ADATA Technology Co., Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.2%, MDD -41.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.7%, drawdown -86.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.4%, MDD -53.2%, Sharpe 0.87, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.6%, MDD -54.3%, exposure 72%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 18.2%, MDD -41.9%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=108, threshold=0 |
26.4% | -53.2% | 0.87 | 0.50 | 77.8x | 111 | 52% |
| SMA 크로스오버 fast=47, slow=141 |
25.4% | -64.0% | 0.83 | 0.40 | 66.6x | 27 | 53% |
| Donchian 채널 돌파 entryN=20, exitN=60 |
26.6% | -54.3% | 0.83 | 0.49 | 80.6x | 44 | 72% |
| 볼린저 밴드 돌파 n=18, k=1.4 |
20.6% | -46.6% | 0.80 | 0.44 | 32.7x | 224 | 38% |
| Supertrend period=25, mult=5 |
22.1% | -55.5% | 0.79 | 0.40 | 41.2x | 56 | 55% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=1.9 |
18.2% | -41.9% | 0.76 | 0.43 | 22.3x | 114 | 29% |
| EMA 크로스오버 fast=6, slow=153 |
21.2% | -54.8% | 0.75 | 0.39 | 35.5x | 53 | 51% |
| ADX / DI 방향성 period=48, threshold=11 |
17.6% | -62.4% | 0.68 | 0.28 | 20.4x | 104 | 41% |
| Parabolic SAR step=0.01, maxStep=0.24 |
16.2% | -57.7% | 0.65 | 0.28 | 16.4x | 218 | 49% |
| MACD fast=8, slow=44, signal=10 |
16.2% | -65.8% | 0.64 | 0.25 | 16.2x | 301 | 51% |
| Buy and hold | 10.7% | -86.9% | 0.46 | 0.12 | 6.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 108-day return is greater than 0%
- Sell — Sell when the 108-day return drops to 0% or below