Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Xintec Inc. backtest
10 trend-following strategies were compared on the full daily history of Xintec Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.7%, MDD -28.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.8%, drawdown -74.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.5%, MDD -37.2%, Sharpe 0.75, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.3%, MDD -45.5%, exposure 41%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 13.7%, MDD -28.5%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=2.6 |
16.5% | -37.2% | 0.75 | 0.44 | 17.1x | 70 | 23% |
| SMA 크로스오버 fast=11, slow=38 |
19.3% | -45.5% | 0.70 | 0.42 | 26.4x | 89 | 41% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=19, mult=3.2 |
13.7% | -28.5% | 0.68 | 0.48 | 10.8x | 46 | 31% |
| Supertrend period=28, mult=3 |
17.0% | -50.6% | 0.66 | 0.34 | 18.5x | 102 | 56% |
| EMA 크로스오버 fast=18, slow=21 |
17.2% | -48.6% | 0.64 | 0.35 | 19.0x | 89 | 58% |
| ADX / DI 방향성 period=28, threshold=5 |
14.9% | -61.6% | 0.58 | 0.24 | 13.1x | 158 | 63% |
| Donchian 채널 돌파 entryN=11, exitN=49 |
15.3% | -60.9% | 0.56 | 0.25 | 14.1x | 51 | 83% |
| ROC 모멘텀 n=29, threshold=0.04 |
13.0% | -52.8% | 0.55 | 0.25 | 9.7x | 216 | 33% |
| MACD fast=6, slow=52, signal=19 |
12.1% | -65.5% | 0.51 | 0.18 | 8.3x | 208 | 43% |
| Parabolic SAR step=0.02, maxStep=0.2 |
11.6% | -69.2% | 0.50 | 0.17 | 7.7x | 262 | 57% |
| Buy and hold | 8.8% | -74.9% | 0.42 | 0.12 | 4.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 21-day middle average