Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Tatung Co. backtest
10 trend-following strategies were compared on the full daily history of Tatung Co.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.6%, MDD -20.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.6%, drawdown -94.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.6%, MDD -20.4%, Sharpe 0.66, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.2%, MDD -38.9%, exposure 13%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 74.0%p (CAGR 8.6%, MDD -20.4%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=3.2 |
8.6% | -20.4% | 0.66 | 0.42 | 9.0x | 50 | 7% |
| Donchian 채널 돌파 entryN=106, exitN=13 |
11.2% | -38.9% | 0.65 | 0.29 | 17.2x | 46 | 13% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=3.9 |
8.0% | -44.9% | 0.47 | 0.18 | 7.9x | 62 | 17% |
| ROC 모멘텀 n=42, threshold=0.14 |
6.8% | -62.9% | 0.40 | 0.11 | 5.8x | 171 | 19% |
| EMA 크로스오버 fast=55, slow=132 |
7.3% | -61.1% | 0.39 | 0.12 | 6.6x | 30 | 45% |
| MACD fast=19, slow=39, signal=19 |
5.9% | -67.8% | 0.34 | 0.09 | 4.7x | 259 | 50% |
| Supertrend period=36, mult=2.5 |
5.5% | -62.0% | 0.33 | 0.09 | 4.2x | 255 | 42% |
| SMA 크로스오버 fast=31, slow=172 |
5.3% | -61.3% | 0.32 | 0.09 | 4.0x | 46 | 46% |
| ADX / DI 방향성 period=23, threshold=24 |
4.0% | -67.8% | 0.29 | 0.06 | 2.9x | 92 | 19% |
| Parabolic SAR step=0.025, maxStep=0.12 |
0.0% | -74.7% | 0.15 | 0.00 | 1.0x | 509 | 48% |
| Buy and hold | -3.6% | -94.4% | 0.16 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 18-day middle average