Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Teco Electric & Machinery Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Teco Electric & Machinery Co., Ltd.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -24.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.4%, drawdown -80.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.9%, MDD -24.9%, Sharpe 0.42, 9% exposure.
CAGR reference leader: MACD — CAGR 6.8%, MDD -54.1%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 4.9%, MDD -24.9%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=41, k=3.4 |
4.9% | -24.9% | 0.42 | 0.20 | 3.5x | 26 | 9% |
| MACD fast=24, slow=91, signal=39 |
6.8% | -54.1% | 0.40 | 0.13 | 5.8x | 142 | 48% |
| Supertrend period=11, mult=4.7 |
6.3% | -57.8% | 0.37 | 0.11 | 5.1x | 74 | 58% |
| Donchian 채널 돌파 entryN=60, exitN=52 |
5.5% | -47.5% | 0.35 | 0.12 | 4.1x | 53 | 49% |
| SMA 크로스오버 fast=18, slow=83 |
5.1% | -45.6% | 0.33 | 0.11 | 3.7x | 98 | 53% |
| EMA 크로스오버 fast=20, slow=74 |
4.4% | -46.2% | 0.30 | 0.09 | 3.1x | 94 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=27, mult=4 |
2.4% | -37.6% | 0.23 | 0.06 | 1.9x | 52 | 16% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.4% | -77.5% | 0.18 | 0.02 | 1.4x | 194 | 51% |
| ADX / DI 방향성 period=21, threshold=38 |
0.8% | -42.1% | 0.13 | 0.02 | 1.2x | 26 | 5% |
| ROC 모멘텀 n=99, threshold=0 |
-1.2% | -70.6% | 0.07 | -0.02 | 0.7x | 288 | 51% |
| Buy and hold | 4.4% | -80.6% | 0.30 | 0.06 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 41-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 41-day middle average