Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Gold Circuit Electronics Ltd backtest
10 trend-following strategies were compared on the full daily history of Gold Circuit Electronics Ltd. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.1%, MDD -51.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.3%, drawdown -83.1%).
Sharpe leader (same as main): Supertrend — CAGR 19.1%, MDD -51.8%, Sharpe 0.67, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 19.1%, MDD -51.8%, exposure 61%).
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=5, mult=3.8 |
19.1% | -51.8% | 0.67 | 0.37 | 105.7x | 119 | 61% |
| EMA 크로스오버 fast=57, slow=185 |
18.5% | -64.8% | 0.65 | 0.29 | 93.0x | 27 | 61% |
| SMA 크로스오버 fast=47, slow=218 |
17.9% | -61.1% | 0.64 | 0.29 | 79.9x | 27 | 58% |
| Donchian 채널 돌파 entryN=90, exitN=96 |
16.1% | -57.1% | 0.60 | 0.28 | 53.9x | 28 | 56% |
| ROC 모멘텀 n=110, threshold=-0.04 |
11.1% | -61.8% | 0.47 | 0.18 | 16.5x | 285 | 65% |
| MACD fast=15, slow=19, signal=17 |
10.0% | -71.2% | 0.46 | 0.14 | 12.8x | 381 | 51% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=20, mult=2.1 |
9.4% | -64.7% | 0.45 | 0.15 | 11.0x | 128 | 41% |
| ADX / DI 방향성 period=33, threshold=32 |
4.6% | -29.7% | 0.41 | 0.15 | 3.3x | 16 | 6% |
| 볼린저 밴드 돌파 n=43, k=1.4 |
7.0% | -64.6% | 0.37 | 0.11 | 6.0x | 194 | 40% |
| Parabolic SAR step=0.05, maxStep=0.08 |
6.8% | -69.7% | 0.37 | 0.10 | 5.8x | 555 | 52% |
| Buy and hold | 16.3% | -83.1% | 0.56 | 0.20 | 56.3x | 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) — 5-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)