Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Qisda Corporation backtest
10 trend-following strategies were compared on the full daily history of Qisda Corporation. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.4%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.0%, drawdown -91.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.7%, MDD -40.1%, Sharpe 0.59, 20% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 7.4%, MDD -33.0%, exposure 14%).
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=46, atrPeriod=11, mult=3.7 |
9.7% | -40.1% | 0.59 | 0.24 | 12.0x | 54 | 20% |
| ADX / DI 방향성 period=30, threshold=24 |
7.4% | -33.0% | 0.54 | 0.23 | 6.8x | 34 | 14% |
| Donchian 채널 돌파 entryN=71, exitN=9 |
7.5% | -41.0% | 0.51 | 0.18 | 7.0x | 96 | 18% |
| SMA 크로스오버 fast=44, slow=272 |
7.7% | -53.9% | 0.42 | 0.14 | 7.2x | 32 | 46% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
6.4% | -45.1% | 0.42 | 0.14 | 5.3x | 82 | 22% |
| ROC 모멘텀 n=123, threshold=0.1 |
7.0% | -56.0% | 0.41 | 0.13 | 6.1x | 163 | 33% |
| EMA 크로스오버 fast=40, slow=99 |
4.6% | -53.5% | 0.31 | 0.09 | 3.4x | 51 | 45% |
| Supertrend period=19, mult=4.8 |
4.2% | -67.3% | 0.29 | 0.06 | 3.0x | 94 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
2.3% | -69.6% | 0.22 | 0.03 | 1.8x | 307 | 49% |
| MACD fast=16, slow=19, signal=15 |
-0.0% | -80.9% | 0.14 | -0.00 | 1.0x | 409 | 52% |
| Buy and hold | -2.0% | -91.3% | 0.15 | -0.02 | 0.6x | 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 46-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average