Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Ardentec Corporation backtest
10 trend-following strategies were compared on the full daily history of Ardentec Corporation. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.1%, MDD -36.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.9%, drawdown -61.3%).
Sharpe leader (same as main): Supertrend — CAGR 13.1%, MDD -36.5%, Sharpe 0.61, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.2%, MDD -55.2%, exposure 84%.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 24.8%p (CAGR 13.1%, MDD -36.5%, exposure 52%).
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=29, mult=3.3 |
13.1% | -36.5% | 0.61 | 0.36 | 10.0x | 105 | 52% |
| EMA 크로스오버 fast=50, slow=167 |
13.0% | -49.5% | 0.58 | 0.26 | 9.8x | 23 | 59% |
| SMA 크로스오버 fast=43, slow=187 |
13.0% | -48.9% | 0.58 | 0.27 | 9.8x | 29 | 59% |
| Donchian 채널 돌파 entryN=12, exitN=74 |
14.2% | -55.2% | 0.58 | 0.26 | 11.9x | 47 | 84% |
| MACD fast=22, slow=91, signal=19 |
9.9% | -40.7% | 0.51 | 0.24 | 5.8x | 149 | 49% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
9.7% | -34.8% | 0.51 | 0.28 | 5.7x | 76 | 40% |
| Parabolic SAR step=0.01, maxStep=0.24 |
10.0% | -42.2% | 0.50 | 0.24 | 5.9x | 213 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=2.6 |
8.7% | -34.6% | 0.47 | 0.25 | 4.7x | 74 | 38% |
| ADX / DI 방향성 period=30, threshold=2 |
9.5% | -51.9% | 0.47 | 0.18 | 5.4x | 219 | 61% |
| ROC 모멘텀 n=101, threshold=-0.01 |
9.7% | -56.0% | 0.47 | 0.17 | 5.7x | 149 | 62% |
| Buy and hold | 13.9% | -61.3% | 0.54 | 0.23 | 11.4x | 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) — 29-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)