Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Airtac International Group backtest
10 trend-following strategies were compared on the full daily history of Airtac International Group. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.8%, MDD -44.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.6%, drawdown -61.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.8%, MDD -44.6%, Sharpe 0.56, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 16.7%p (CAGR 13.8%, MDD -44.6%, exposure 60%).
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=40, exitN=50 |
13.8% | -44.6% | 0.56 | 0.31 | 7.5x | 33 | 60% |
| Supertrend period=32, mult=4.6 |
11.6% | -58.7% | 0.51 | 0.20 | 5.5x | 47 | 55% |
| SMA 크로스오버 fast=53, slow=131 |
12.0% | -57.3% | 0.51 | 0.21 | 5.9x | 33 | 59% |
| 볼린저 밴드 돌파 n=46, k=2.1 |
7.9% | -41.3% | 0.43 | 0.19 | 3.3x | 64 | 38% |
| EMA 크로스오버 fast=21, slow=66 |
7.9% | -60.1% | 0.40 | 0.13 | 3.3x | 53 | 60% |
| ADX / DI 방향성 period=27, threshold=21 |
5.9% | -35.2% | 0.38 | 0.17 | 2.4x | 50 | 23% |
| ROC 모멘텀 n=132, threshold=-0.03 |
6.4% | -65.1% | 0.36 | 0.10 | 2.6x | 127 | 64% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=1.9 |
5.8% | -49.5% | 0.35 | 0.12 | 2.4x | 82 | 41% |
| MACD fast=19, slow=23, signal=17 |
1.8% | -60.7% | 0.22 | 0.03 | 1.3x | 209 | 50% |
| Parabolic SAR step=0.025, maxStep=0.1 |
1.3% | -70.5% | 0.20 | 0.02 | 1.2x | 307 | 54% |
| Buy and hold | 16.6% | -61.2% | 0.57 | 0.27 | 11.0x | 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 40 days
- Sell — Sell when price breaks below the lowest low of the last 50 days