Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Catcher Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Catcher Technology Co., Ltd.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.2%, MDD -35.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.3%, drawdown -82.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.4%, MDD -36.7%, Sharpe 0.69, 12% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 13.0%, MDD -58.2%, exposure 27%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 10.2%, MDD -35.0%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=31, threshold=25 |
10.4% | -36.7% | 0.69 | 0.28 | 14.3x | 28 | 12% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
13.0% | -58.2% | 0.66 | 0.22 | 26.2x | 60 | 27% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=10, mult=3.8 |
10.2% | -35.0% | 0.61 | 0.29 | 13.4x | 50 | 16% |
| Donchian 채널 돌파 entryN=115, exitN=68 |
11.2% | -54.2% | 0.54 | 0.21 | 17.1x | 32 | 39% |
| EMA 크로스오버 fast=7, slow=146 |
10.8% | -77.5% | 0.50 | 0.14 | 15.5x | 99 | 52% |
| Supertrend period=17, mult=3.6 |
10.6% | -79.6% | 0.49 | 0.13 | 14.7x | 155 | 53% |
| MACD fast=32, slow=46, signal=35 |
9.8% | -61.8% | 0.46 | 0.16 | 12.1x | 187 | 53% |
| SMA 크로스오버 fast=7, slow=191 |
9.4% | -74.2% | 0.46 | 0.13 | 11.0x | 97 | 53% |
| ROC 모멘텀 n=88, threshold=0.14 |
6.5% | -65.4% | 0.38 | 0.10 | 5.4x | 246 | 29% |
| Parabolic SAR step=0.005, maxStep=0.1 |
5.6% | -76.4% | 0.33 | 0.07 | 4.3x | 199 | 52% |
| Buy and hold | 8.3% | -82.3% | 0.40 | 0.10 | 8.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 31-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)