Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Greatek Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Greatek Electronics, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.7%, MDD -38.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.4%, drawdown -70.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.0%, MDD -54.6%, Sharpe 0.65, 77% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 10.7%, MDD -38.6%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=64 |
16.0% | -54.6% | 0.65 | 0.29 | 46.8x | 61 | 77% |
| SMA 크로스오버 fast=10, slow=191 |
13.7% | -48.2% | 0.60 | 0.28 | 27.9x | 45 | 63% |
| EMA 크로스오버 fast=17, slow=158 |
12.7% | -48.5% | 0.57 | 0.26 | 22.4x | 47 | 64% |
| Supertrend period=10, mult=4.2 |
10.7% | -38.6% | 0.52 | 0.28 | 14.1x | 98 | 56% |
| ROC 모멘텀 n=152, threshold=-0.05 |
11.1% | -58.9% | 0.51 | 0.19 | 15.4x | 125 | 70% |
| ADX / DI 방향성 period=35, threshold=12 |
9.6% | -33.0% | 0.50 | 0.29 | 10.7x | 194 | 47% |
| MACD fast=29, slow=55, signal=19 |
9.5% | -49.0% | 0.49 | 0.19 | 10.6x | 207 | 52% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
8.4% | -41.7% | 0.46 | 0.20 | 8.0x | 140 | 47% |
| Keltner 채널 돌파 emaPeriod=82, atrPeriod=13, mult=1.6 |
7.4% | -44.6% | 0.42 | 0.17 | 6.4x | 125 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.1% | -73.6% | 0.32 | 0.07 | 3.6x | 187 | 53% |
| Buy and hold | 10.4% | -70.3% | 0.46 | 0.15 | 13.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 64 days