Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Phison Electronics Corp. backtest
10 trend-following strategies were compared on the full daily history of Phison Electronics Corp.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.8%, MDD -49.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 13.0%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.7%, MDD -49.9%, Sharpe 0.72, 69% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 16.8%, MDD -49.8%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=40 |
20.7% | -49.9% | 0.72 | 0.41 | 33.0x | 64 | 69% |
| 볼린저 밴드 돌파 n=54, k=1.1 |
16.8% | -49.8% | 0.68 | 0.34 | 18.0x | 98 | 45% |
| Supertrend period=26, mult=3.3 |
16.8% | -61.4% | 0.68 | 0.27 | 18.0x | 114 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
15.6% | -56.0% | 0.63 | 0.28 | 14.8x | 212 | 55% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=16, mult=2.1 |
14.4% | -51.5% | 0.63 | 0.28 | 12.2x | 92 | 37% |
| SMA 크로스오버 fast=47, slow=117 |
15.6% | -54.1% | 0.61 | 0.29 | 14.9x | 39 | 53% |
| EMA 크로스오버 fast=7, slow=39 |
13.0% | -56.0% | 0.55 | 0.23 | 9.7x | 154 | 54% |
| MACD fast=18, slow=28, signal=11 |
12.2% | -66.8% | 0.53 | 0.18 | 8.5x | 262 | 54% |
| ROC 모멘텀 n=94, threshold=-0.01 |
9.7% | -62.6% | 0.45 | 0.16 | 5.6x | 178 | 56% |
| ADX / DI 방향성 period=30, threshold=6 |
9.0% | -61.7% | 0.44 | 0.15 | 5.0x | 230 | 53% |
| Buy and hold | 13.0% | -83.8% | 0.51 | 0.16 | 9.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 40 days