Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Shihlin Electric & Engineering Corp. backtest
10 trend-following strategies were compared on the full daily history of Shihlin Electric & Engineering Corp.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.7%, MDD -43.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.9%, drawdown -67.3%).
Sharpe leader (same as main): Supertrend — CAGR 9.7%, MDD -43.7%, Sharpe 0.52, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 9.7%, MDD -43.7%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=4.1 |
9.7% | -43.7% | 0.52 | 0.22 | 11.7x | 86 | 54% |
| ROC 모멘텀 n=63, threshold=-0.13 |
8.3% | -57.5% | 0.43 | 0.14 | 8.3x | 115 | 88% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.9% | -53.5% | 0.41 | 0.13 | 5.8x | 172 | 49% |
| Donchian 채널 돌파 entryN=15, exitN=49 |
7.2% | -51.4% | 0.39 | 0.14 | 6.3x | 93 | 77% |
| MACD fast=19, slow=65, signal=19 |
6.4% | -65.7% | 0.39 | 0.10 | 5.2x | 266 | 47% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=8, mult=3.8 |
3.8% | -40.4% | 0.34 | 0.09 | 2.7x | 36 | 9% |
| ADX / DI 방향성 period=38, threshold=33 |
3.0% | -33.1% | 0.32 | 0.09 | 2.2x | 8 | 4% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
3.8% | -43.1% | 0.32 | 0.09 | 2.7x | 56 | 14% |
| SMA 크로스오버 fast=21, slow=129 |
3.6% | -48.2% | 0.27 | 0.07 | 2.5x | 81 | 58% |
| EMA 크로스오버 fast=38, slow=166 |
2.9% | -58.6% | 0.24 | 0.05 | 2.1x | 57 | 64% |
| Buy and hold | 7.9% | -67.3% | 0.40 | 0.12 | 7.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)