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.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.8%, MDD -35.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 14.5%, drawdown -74.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.8%, MDD -38.1%, Sharpe 0.78, 25% exposure.
CAGR reference leader: Supertrend — CAGR 27.0%, MDD -45.2%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 14.8%, MDD -35.3%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=23, mult=3.8 |
17.8% | -38.1% | 0.78 | 0.47 | 20.9x | 32 | 25% |
| SMA 크로스오버 fast=24, slow=167 |
20.0% | -61.3% | 0.75 | 0.33 | 29.7x | 31 | 45% |
| ROC 모멘텀 n=147, threshold=0.09 |
18.9% | -61.3% | 0.74 | 0.31 | 25.1x | 69 | 34% |
| 볼린저 밴드 돌파 n=27, k=2.9 |
14.8% | -35.3% | 0.73 | 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% |
| EMA 크로스오버 fast=47, slow=129 |
18.4% | -61.3% | 0.70 | 0.30 | 23.2x | 21 | 44% |
| Supertrend period=12, mult=5 |
27.0% | -45.2% | 0.69 | 0.60 | 85.2x | 42 | 60% |
| Donchian 채널 돌파 entryN=56, exitN=33 |
26.6% | -40.2% | 0.69 | 0.66 | 79.5x | 36 | 44% |
| MACD fast=19, slow=33, signal=22 |
7.4% | -75.1% | 0.40 | 0.10 | 3.8x | 176 | 47% |
| Parabolic SAR step=0.045, maxStep=0.12 |
6.8% | -73.1% | 0.31 | 0.09 | 3.4x | 412 | 54% |
| Buy and hold | 14.5% | -74.6% | 0.48 | 0.19 | 12.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 74-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 74-day average