Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Cosmo Electronics Corporation backtest
10 trend-following strategies were compared on the full daily history of Cosmo Electronics Corporation. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.8%, MDD -21.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.4%, drawdown -96.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.8%, MDD -21.0%, Sharpe 0.95, 2% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 15.5%, MDD -31.7%, exposure 21%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 75.0%p (CAGR 10.8%, MDD -21.0%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=2, threshold=0.11 |
10.8% | -21.0% | 0.95 | 0.51 | 15.4x | 100 | 2% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=10, mult=1.5 |
15.5% | -31.7% | 0.84 | 0.49 | 47.0x | 179 | 21% |
| 볼린저 밴드 돌파 n=21, k=2.4 |
12.3% | -37.8% | 0.72 | 0.33 | 22.3x | 139 | 23% |
| Supertrend period=19, mult=1.7 |
11.0% | -52.8% | 0.57 | 0.21 | 16.2x | 325 | 45% |
| Parabolic SAR step=0.025, maxStep=0.1 |
11.4% | -62.1% | 0.57 | 0.18 | 18.0x | 461 | 46% |
| ADX / DI 방향성 period=8, threshold=30 |
10.1% | -58.8% | 0.56 | 0.17 | 13.1x | 349 | 27% |
| Donchian 채널 돌파 entryN=20, exitN=6 |
6.2% | -91.3% | 0.45 | 0.07 | 5.0x | 165 | 36% |
| SMA 크로스오버 fast=21, slow=29 |
8.0% | -59.7% | 0.44 | 0.13 | 7.7x | 275 | 45% |
| EMA 크로스오버 fast=15, slow=161 |
5.3% | -64.0% | 0.35 | 0.08 | 3.9x | 71 | 45% |
| MACD fast=17, slow=55, signal=14 |
1.1% | -91.2% | 0.26 | 0.01 | 1.4x | 269 | 53% |
| Buy and hold | 6.4% | -96.0% | 0.42 | 0.07 | 5.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 2-day return is greater than 11%
- Sell — Sell when the 2-day return drops to 11% or below