Trend-Following Backtester · Guide · backtest 한국어
equity · TW
C Sun Mfg. Ltd. backtest
10 trend-following strategies were compared on the full daily history of C Sun Mfg. Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.3%, MDD -46.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -74.1%).
Sharpe leader (same as main): Supertrend — CAGR 14.3%, MDD -46.8%, Sharpe 0.60, 48% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.5%, MDD -76.3%, exposure 92%.
Return/drawdown alternative: Supertrend — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 27.3%p (CAGR 14.3%, MDD -46.8%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.1 |
14.3% | -46.8% | 0.60 | 0.31 | 35.8x | 108 | 48% |
| Donchian 채널 돌파 entryN=7, exitN=130 |
15.5% | -76.3% | 0.58 | 0.20 | 46.7x | 53 | 92% |
| EMA 크로스오버 fast=53, slow=86 |
13.8% | -53.6% | 0.57 | 0.26 | 31.9x | 53 | 56% |
| ADX / DI 방향성 period=19, threshold=29 |
11.0% | -62.8% | 0.57 | 0.17 | 16.1x | 76 | 19% |
| SMA 크로스오버 fast=16, slow=61 |
12.4% | -59.2% | 0.54 | 0.21 | 22.7x | 116 | 51% |
| MACD fast=18, slow=32, signal=19 |
11.5% | -49.4% | 0.53 | 0.23 | 18.3x | 274 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=2.4 |
10.3% | -61.2% | 0.50 | 0.17 | 13.9x | 116 | 35% |
| ROC 모멘텀 n=90, threshold=0.1 |
9.6% | -67.1% | 0.47 | 0.14 | 11.6x | 240 | 36% |
| Parabolic SAR step=0.01, maxStep=0.08 |
7.8% | -78.6% | 0.42 | 0.10 | 7.5x | 268 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.9 |
6.2% | -75.2% | 0.38 | 0.08 | 5.0x | 122 | 33% |
| Buy and hold | 16.1% | -74.1% | 0.59 | 0.22 | 54.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)