Trend-Following Backtester · Guide · backtest 한국어
equity · TW
King Yuan Electronics Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of King Yuan Electronics Co., Ltd.. 7 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 13.3%, MDD -27.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 13.3%, drawdown -79.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.3%, MDD -27.5%, Sharpe 0.73, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.4%, MDD -72.1%, exposure 72%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 51.9%p (CAGR 13.3%, MDD -27.5%, 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=60, k=3.4 |
13.3% | -27.5% | 0.73 | 0.48 | 23.8x | 26 | 19% |
| Donchian 채널 돌파 entryN=24, exitN=55 |
19.4% | -72.1% | 0.68 | 0.27 | 89.8x | 63 | 72% |
| SMA 크로스오버 fast=12, slow=143 |
16.9% | -50.7% | 0.65 | 0.33 | 52.1x | 62 | 58% |
| EMA 크로스오버 fast=40, slow=52 |
16.5% | -52.6% | 0.63 | 0.31 | 47.3x | 68 | 58% |
| ROC 모멘텀 n=87, threshold=0.08 |
14.9% | -51.4% | 0.63 | 0.29 | 33.6x | 244 | 44% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=19, mult=2.7 |
13.9% | -48.3% | 0.62 | 0.29 | 26.7x | 88 | 39% |
| Supertrend period=9, mult=4.8 |
13.9% | -60.8% | 0.55 | 0.23 | 27.2x | 88 | 56% |
| ADX / DI 방향성 period=32, threshold=13 |
11.8% | -59.5% | 0.54 | 0.20 | 17.0x | 202 | 44% |
| MACD fast=19, slow=31, signal=14 |
6.0% | -63.8% | 0.35 | 0.09 | 4.4x | 321 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.0% | -67.4% | 0.28 | 0.06 | 2.7x | 194 | 54% |
| Buy and hold | 13.3% | -79.4% | 0.50 | 0.17 | 23.7x | 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 60-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 60-day middle average