Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Asia Cement Corporation backtest
10 trend-following strategies were compared on the full daily history of Asia Cement Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.6%, MDD -48.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.4%, drawdown -72.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -58.8%, Sharpe 0.32, 82% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 14.1%p (CAGR 4.6%, MDD -48.9%, exposure 91%).
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=7, exitN=47 |
5.2% | -58.8% | 0.32 | 0.09 | 3.9x | 123 | 82% |
| ROC 모멘텀 n=50, threshold=-0.15 |
4.6% | -48.9% | 0.30 | 0.09 | 3.3x | 99 | 91% |
| SMA 크로스오버 fast=10, slow=66 |
3.1% | -53.1% | 0.25 | 0.06 | 2.2x | 143 | 55% |
| Supertrend period=8, mult=4.3 |
2.7% | -49.0% | 0.23 | 0.06 | 2.1x | 111 | 53% |
| EMA 크로스오버 fast=20, slow=123 |
2.5% | -58.8% | 0.23 | 0.04 | 1.9x | 71 | 55% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.0% | -60.9% | 0.20 | 0.03 | 1.7x | 201 | 53% |
| MACD fast=26, slow=51, signal=24 |
-1.6% | -53.0% | 0.05 | -0.03 | 0.7x | 227 | 52% |
| ADX / DI 방향성 period=25, threshold=14 |
-3.5% | -77.1% | -0.07 | -0.05 | 0.4x | 243 | 36% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=3.1 |
-2.7% | -60.7% | -0.08 | -0.04 | 0.5x | 88 | 22% |
| 볼린저 밴드 돌파 n=55, k=2 |
-3.2% | -63.3% | -0.08 | -0.05 | 0.4x | 102 | 29% |
| Buy and hold | 4.4% | -72.9% | 0.30 | 0.06 | 3.1x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 47 days