Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chipbond Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Chipbond Technology Corporation. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.9%, MDD -38.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.6%, drawdown -81.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.9%, MDD -38.6%, Sharpe 0.70, 19% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR 12.9%, MDD -38.6%, exposure 19%).
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=58, k=3.1 |
12.9% | -38.6% | 0.70 | 0.34 | 9.7x | 26 | 19% |
| Supertrend period=29, mult=4.9 |
12.9% | -69.9% | 0.58 | 0.18 | 9.6x | 58 | 56% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=43, mult=3.9 |
7.3% | -34.7% | 0.56 | 0.21 | 3.7x | 18 | 5% |
| ADX / DI 방향성 period=29, threshold=18 |
9.8% | -63.0% | 0.55 | 0.16 | 5.7x | 66 | 21% |
| ROC 모멘텀 n=130, threshold=-0.02 |
11.7% | -63.1% | 0.52 | 0.19 | 7.9x | 167 | 59% |
| SMA 크로스오버 fast=28, slow=162 |
10.9% | -73.9% | 0.50 | 0.15 | 6.9x | 35 | 56% |
| Donchian 채널 돌파 entryN=35, exitN=32 |
10.4% | -75.7% | 0.50 | 0.14 | 6.3x | 66 | 54% |
| EMA 크로스오버 fast=43, slow=125 |
10.3% | -66.3% | 0.48 | 0.16 | 6.2x | 31 | 53% |
| MACD fast=19, slow=25, signal=12 |
7.3% | -54.1% | 0.40 | 0.13 | 3.7x | 257 | 52% |
| Parabolic SAR step=0.025, maxStep=0.32 |
3.2% | -75.7% | 0.25 | 0.04 | 1.8x | 425 | 51% |
| Buy and hold | 9.6% | -81.8% | 0.43 | 0.12 | 5.5x | 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 58-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 58-day middle average