Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Acer Incorporated backtest
10 trend-following strategies were compared on the full daily history of Acer Incorporated. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.8%, MDD -32.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.6%, drawdown -90.4%).
Sharpe leader (same as main): Supertrend — CAGR 9.7%, MDD -58.8%, Sharpe 0.49, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 4.8%, MDD -32.5%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=4.9 |
9.7% | -58.8% | 0.49 | 0.17 | 11.8x | 76 | 51% |
| EMA 크로스오버 fast=20, slow=89 |
8.4% | -49.5% | 0.45 | 0.17 | 8.5x | 70 | 47% |
| 볼린저 밴드 돌파 n=44, k=2.1 |
6.4% | -45.7% | 0.40 | 0.14 | 5.2x | 108 | 29% |
| Donchian 채널 돌파 entryN=37, exitN=9 |
5.9% | -44.0% | 0.39 | 0.13 | 4.6x | 140 | 26% |
| SMA 크로스오버 fast=11, slow=130 |
6.3% | -58.2% | 0.37 | 0.11 | 5.1x | 77 | 46% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=29, mult=3.8 |
4.8% | -32.5% | 0.37 | 0.15 | 3.5x | 64 | 17% |
| MACD fast=20, slow=57, signal=40 |
5.6% | -59.7% | 0.34 | 0.09 | 4.2x | 182 | 52% |
| ADX / DI 방향성 period=12, threshold=36 |
3.4% | -59.0% | 0.30 | 0.06 | 2.5x | 104 | 12% |
| ROC 모멘텀 n=109, threshold=0.11 |
2.7% | -49.2% | 0.23 | 0.05 | 2.0x | 182 | 33% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-2.8% | -68.7% | 0.02 | -0.04 | 0.5x | 320 | 49% |
| Buy and hold | -2.6% | -90.4% | 0.13 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)