Trend-Following Backtester · Guide · backtest 한국어
equity · TW
TA Chen Stainless Pipe Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of TA Chen Stainless Pipe Co., Ltd.. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -51.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.2%, drawdown -79.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.5%, MDD -35.2%, Sharpe 0.52, 3% exposure.
CAGR reference leader: Supertrend — CAGR 10.7%, MDD -60.4%, exposure 56%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.7%p lower than buy and hold, while drawdown improves by 44.7%p (CAGR 10.2%, MDD -51.0%, exposure 52%).
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=7, atrPeriod=15, mult=2.8 |
4.5% | -35.2% | 0.52 | 0.13 | 3.2x | 36 | 3% |
| Supertrend period=10, mult=4 |
10.7% | -60.4% | 0.51 | 0.18 | 15.2x | 119 | 56% |
| SMA 크로스오버 fast=52, slow=101 |
10.2% | -51.0% | 0.48 | 0.20 | 13.4x | 77 | 52% |
| ADX / DI 방향성 period=23, threshold=51 |
3.5% | -27.5% | 0.48 | 0.13 | 2.5x | 10 | 1% |
| Donchian 채널 돌파 entryN=101, exitN=76 |
9.4% | -62.4% | 0.46 | 0.15 | 10.8x | 35 | 48% |
| EMA 크로스오버 fast=58, slow=127 |
8.4% | -58.1% | 0.43 | 0.14 | 8.5x | 45 | 52% |
| MACD fast=23, slow=42, signal=12 |
7.5% | -58.4% | 0.40 | 0.13 | 6.9x | 295 | 51% |
| ROC 모멘텀 n=76, threshold=0.14 |
6.2% | -63.7% | 0.37 | 0.10 | 5.0x | 193 | 22% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
6.2% | -64.3% | 0.36 | 0.10 | 5.0x | 187 | 40% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.1% | -55.6% | 0.35 | 0.11 | 4.8x | 185 | 50% |
| Buy and hold | 9.2% | -79.9% | 0.42 | 0.12 | 10.5x | 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 7-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average