Trend-Following Backtester · Guide · backtest 한국어
equity · TW
eMemory Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of eMemory Technology, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.3%, MDD -55.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.0%, drawdown -73.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.0%, MDD -61.5%, Sharpe 0.75, 36% exposure.
CAGR reference leader: Supertrend — CAGR 20.3%, MDD -55.9%, exposure 52%.
Return/drawdown alternative: Supertrend — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 12.2%p (CAGR 20.3%, MDD -55.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=19, k=1.6 |
20.0% | -61.5% | 0.75 | 0.33 | 29.8x | 192 | 36% |
| Donchian 채널 돌파 entryN=120, exitN=23 |
17.1% | -46.4% | 0.71 | 0.37 | 18.8x | 38 | 25% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=17, mult=1.2 |
19.1% | -55.7% | 0.70 | 0.34 | 25.9x | 140 | 43% |
| Supertrend period=21, mult=3.2 |
20.3% | -55.9% | 0.70 | 0.36 | 31.1x | 112 | 52% |
| ROC 모멘텀 n=85, threshold=0.12 |
18.6% | -54.6% | 0.69 | 0.34 | 23.8x | 154 | 37% |
| MACD fast=17, slow=50, signal=19 |
17.9% | -62.1% | 0.66 | 0.29 | 21.3x | 184 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
18.4% | -65.5% | 0.65 | 0.28 | 23.1x | 138 | 54% |
| ADX / DI 방향성 period=38, threshold=19 |
14.1% | -46.8% | 0.65 | 0.30 | 11.6x | 36 | 19% |
| EMA 크로스오버 fast=12, slow=23 |
17.1% | -70.0% | 0.62 | 0.24 | 18.9x | 158 | 53% |
| SMA 크로스오버 fast=21, slow=46 |
16.0% | -75.7% | 0.59 | 0.21 | 15.7x | 96 | 55% |
| Buy and hold | 21.0% | -73.7% | 0.64 | 0.28 | 34.5x | 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 19-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 19-day middle average