Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Mirle Automation Corp. backtest
10 trend-following strategies were compared on the full daily history of Mirle Automation Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.5%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -65.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.7%, MDD -56.6%, Sharpe 0.55, 79% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 8.8%p (CAGR 11.5%, MDD -51.5%, exposure 53%).
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=78 |
12.7% | -56.6% | 0.55 | 0.22 | 24.4x | 63 | 79% |
| SMA 크로스오버 fast=36, slow=75 |
11.5% | -51.5% | 0.54 | 0.22 | 18.2x | 87 | 53% |
| EMA 크로스오버 fast=54, slow=81 |
10.4% | -49.7% | 0.50 | 0.21 | 14.0x | 53 | 61% |
| ADX / DI 방향성 period=50, threshold=13 |
7.7% | -63.8% | 0.42 | 0.12 | 7.1x | 103 | 46% |
| Supertrend period=24, mult=4.9 |
6.5% | -61.0% | 0.37 | 0.11 | 5.4x | 91 | 58% |
| MACD fast=20, slow=57, signal=12 |
4.7% | -59.4% | 0.31 | 0.08 | 3.4x | 281 | 48% |
| Parabolic SAR step=0.015, maxStep=0.06 |
4.6% | -58.7% | 0.31 | 0.08 | 3.3x | 315 | 51% |
| ROC 모멘텀 n=125, threshold=0.08 |
4.2% | -76.1% | 0.29 | 0.06 | 3.0x | 199 | 41% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=9, mult=3.4 |
3.5% | -37.3% | 0.27 | 0.09 | 2.5x | 74 | 28% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
3.1% | -50.6% | 0.25 | 0.06 | 2.2x | 183 | 45% |
| Buy and hold | 14.1% | -65.4% | 0.56 | 0.22 | 33.9x | 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 78 days