Trend-Following Backtester · Guide · backtest 한국어
equity · TW
I-Chiun Precision Industry Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of I-Chiun Precision Industry Co., Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.5%, MDD -51.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.0%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.7%, MDD -65.7%, Sharpe 0.88, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 25.9%p (CAGR 14.5%, MDD -51.1%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=17, slow=26 |
27.7% | -65.7% | 0.88 | 0.42 | 632.5x | 248 | 48% |
| Supertrend period=6, mult=4.3 |
25.7% | -62.4% | 0.81 | 0.41 | 418.3x | 88 | 56% |
| Parabolic SAR step=0.005, maxStep=0.24 |
22.5% | -51.2% | 0.78 | 0.44 | 210.7x | 182 | 45% |
| Donchian 채널 돌파 entryN=16, exitN=18 |
21.6% | -81.0% | 0.75 | 0.27 | 172.4x | 138 | 53% |
| EMA 크로스오버 fast=20, slow=46 |
20.9% | -70.2% | 0.71 | 0.30 | 148.3x | 98 | 49% |
| 볼린저 밴드 돌파 n=27, k=2 |
17.1% | -56.9% | 0.70 | 0.30 | 64.2x | 172 | 29% |
| ADX / DI 방향성 period=31, threshold=7 |
20.3% | -58.1% | 0.69 | 0.35 | 130.2x | 214 | 56% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=11, mult=2.2 |
14.5% | -51.1% | 0.63 | 0.28 | 35.6x | 134 | 26% |
| ROC 모멘텀 n=27, threshold=0 |
17.0% | -64.4% | 0.63 | 0.26 | 62.8x | 482 | 47% |
| MACD fast=12, slow=71, signal=24 |
15.1% | -76.6% | 0.61 | 0.20 | 40.5x | 236 | 51% |
| Buy and hold | 12.0% | -91.7% | 0.51 | 0.13 | 19.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 17-day average price crosses above the 26-day average
- Sell — Sell (to cash) when the 17-day average falls below the 26-day average