Trend-Following Backtester · Guide · backtest 한국어
equity · TW
CO-TECH DEVELOPMENT CORP. backtest
10 trend-following strategies were compared on the full daily history of CO-TECH DEVELOPMENT CORP.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 26.4%, MDD -40.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.1%, drawdown -74.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 22.7%, MDD -61.3%, Sharpe 0.84, 35% exposure.
CAGR reference leader: Supertrend — CAGR 27.5%, MDD -45.2%, exposure 60%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 26.4%, MDD -40.2%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=147, threshold=0.09 |
22.7% | -61.3% | 0.84 | 0.37 | 45.5x | 69 | 35% |
| SMA 크로스오버 fast=24, slow=167 |
23.1% | -61.3% | 0.82 | 0.38 | 48.6x | 33 | 45% |
| EMA 크로스오버 fast=47, slow=129 |
22.2% | -61.3% | 0.79 | 0.36 | 42.1x | 21 | 44% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=23, mult=3.8 |
17.7% | -38.1% | 0.78 | 0.46 | 20.9x | 32 | 25% |
| 볼린저 밴드 돌파 n=27, k=2.9 |
14.8% | -35.3% | 0.72 | 0.42 | 13.1x | 64 | 18% |
| ADX / DI 방향성 period=21, threshold=26 |
13.8% | -38.0% | 0.71 | 0.36 | 11.1x | 58 | 19% |
| Supertrend period=12, mult=5 |
27.5% | -45.2% | 0.70 | 0.61 | 92.7x | 43 | 60% |
| Donchian 채널 돌파 entryN=56, exitN=33 |
26.4% | -40.2% | 0.69 | 0.66 | 79.5x | 36 | 44% |
| MACD fast=19, slow=33, signal=22 |
8.7% | -75.1% | 0.44 | 0.12 | 4.8x | 177 | 47% |
| Parabolic SAR step=0.045, maxStep=0.12 |
8.3% | -73.1% | 0.35 | 0.11 | 4.5x | 415 | 54% |
| Buy and hold | 18.1% | -74.6% | 0.53 | 0.24 | 22.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 147-day return is greater than 9%
- Sell — Sell when the 147-day return drops to 9% or below