Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Micro-Star International Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Micro-Star International Co., Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.1%, MDD -38.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.8%, drawdown -84.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.4%, MDD -50.5%, Sharpe 0.60, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 8.1%, MDD -38.8%, exposure 19%).
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=51, k=1.7 |
12.4% | -50.5% | 0.60 | 0.25 | 22.3x | 104 | 34% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=3.6 |
8.1% | -38.8% | 0.51 | 0.21 | 8.0x | 56 | 19% |
| Supertrend period=20, mult=3.6 |
10.1% | -81.6% | 0.48 | 0.12 | 12.9x | 135 | 50% |
| Donchian 채널 돌파 entryN=37, exitN=12 |
7.7% | -60.7% | 0.44 | 0.13 | 7.2x | 119 | 28% |
| EMA 크로스오버 fast=36, slow=47 |
8.7% | -57.6% | 0.44 | 0.15 | 9.2x | 89 | 49% |
| SMA 크로스오버 fast=21, slow=149 |
7.7% | -51.5% | 0.41 | 0.15 | 7.2x | 63 | 48% |
| ADX / DI 방향성 period=30, threshold=12 |
6.9% | -78.6% | 0.38 | 0.09 | 5.9x | 219 | 41% |
| MACD fast=21, slow=38, signal=22 |
4.8% | -77.0% | 0.31 | 0.06 | 3.5x | 250 | 52% |
| ROC 모멘텀 n=148, threshold=0.09 |
4.6% | -56.5% | 0.31 | 0.08 | 3.3x | 137 | 39% |
| Parabolic SAR step=0.005, maxStep=0.08 |
3.7% | -87.0% | 0.27 | 0.04 | 2.6x | 201 | 50% |
| Buy and hold | 4.8% | -84.6% | 0.32 | 0.06 | 3.5x | 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 51-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 51-day middle average