Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Alliance Material Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Alliance Material Co., Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 41.5%, MDD -41.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 22.3%, drawdown -95.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 47.9%, MDD -47.8%, Sharpe 1.24, 27% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 25.6%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 41.5%, MDD -41.8%, exposure 38%).
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=20, k=2.1 |
47.9% | -47.8% | 1.24 | 1.00 | 1446.5x | 102 | 27% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=2.2 |
41.9% | -48.6% | 1.16 | 0.86 | 670.3x | 100 | 32% |
| Donchian 채널 돌파 entryN=36, exitN=7 |
41.5% | -41.8% | 1.15 | 0.99 | 635.8x | 88 | 38% |
| ADX / DI 방향성 period=13, threshold=17 |
42.5% | -56.3% | 1.08 | 0.75 | 716.9x | 178 | 36% |
| Supertrend period=12, mult=3.3 |
40.7% | -54.3% | 1.03 | 0.75 | 570.5x | 114 | 41% |
| Parabolic SAR step=0.015, maxStep=0.12 |
36.9% | -69.5% | 1.00 | 0.53 | 344.2x | 168 | 56% |
| ROC 모멘텀 n=14, threshold=0.14 |
29.0% | -45.8% | 0.97 | 0.63 | 113.8x | 132 | 12% |
| SMA 크로스오버 fast=42, slow=158 |
38.1% | -52.9% | 0.96 | 0.72 | 402.7x | 27 | 46% |
| EMA 크로스오버 fast=44, slow=87 |
37.7% | -53.6% | 0.95 | 0.70 | 384.0x | 25 | 46% |
| MACD fast=16, slow=48, signal=16 |
33.4% | -82.3% | 0.91 | 0.41 | 212.8x | 150 | 57% |
| Buy and hold | 22.3% | -95.8% | 0.64 | 0.23 | 42.2x | 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 20-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 20-day middle average