Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Macronix International Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Macronix International Co., Ltd.. 10 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 13.4%, MDD -37.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.3%, drawdown -97.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.4%, MDD -37.2%, Sharpe 0.63, 17% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.5%, MDD -59.8%, exposure 31%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 60.7%p (CAGR 13.4%, MDD -37.2%, exposure 17%).
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=152, exitN=34 |
13.4% | -37.2% | 0.63 | 0.36 | 28.3x | 26 | 17% |
| ROC 모멘텀 n=153, threshold=0.1 |
14.5% | -59.8% | 0.61 | 0.24 | 36.9x | 115 | 31% |
| Supertrend period=12, mult=4.5 |
13.5% | -75.5% | 0.54 | 0.18 | 29.4x | 98 | 50% |
| ADX / DI 방향성 period=16, threshold=30 |
9.6% | -49.3% | 0.53 | 0.19 | 11.5x | 116 | 13% |
| SMA 크로스오버 fast=40, slow=195 |
11.9% | -74.9% | 0.51 | 0.16 | 19.9x | 39 | 39% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
9.3% | -54.5% | 0.48 | 0.17 | 10.6x | 52 | 20% |
| EMA 크로스오버 fast=22, slow=159 |
10.3% | -67.3% | 0.47 | 0.15 | 13.8x | 45 | 38% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=9, mult=3.3 |
8.5% | -63.1% | 0.44 | 0.13 | 8.8x | 76 | 23% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.5% | -69.7% | 0.27 | 0.05 | 2.5x | 197 | 49% |
| MACD fast=16, slow=22, signal=17 |
0.3% | -87.6% | 0.18 | 0.00 | 1.1x | 373 | 50% |
| Buy and hold | 0.3% | -97.9% | 0.25 | 0.00 | 1.1x | 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 152 days
- Sell — Sell when price breaks below the lowest low of the last 34 days