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 13.4%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.0%, MDD -65.7%, Sharpe 0.89, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.6%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 |
28.0% | -65.7% | 0.89 | 0.43 | 679.9x | 249 | 48% |
| Supertrend period=6, mult=4.3 |
25.6% | -62.4% | 0.81 | 0.41 | 417.0x | 89 | 55% |
| Parabolic SAR step=0.005, maxStep=0.24 |
23.0% | -51.2% | 0.79 | 0.45 | 236.6x | 183 | 45% |
| Donchian 채널 돌파 entryN=16, exitN=18 |
21.7% | -81.0% | 0.75 | 0.27 | 179.8x | 139 | 53% |
| EMA 크로스오버 fast=20, slow=46 |
20.9% | -70.2% | 0.71 | 0.30 | 150.4x | 99 | 49% |
| ADX / DI 방향성 period=31, threshold=7 |
21.0% | -58.1% | 0.71 | 0.36 | 153.1x | 217 | 56% |
| 볼린저 밴드 돌파 n=27, k=2 |
17.0% | -56.9% | 0.70 | 0.30 | 64.2x | 172 | 29% |
| 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 |
16.8% | -64.4% | 0.62 | 0.26 | 61.2x | 485 | 47% |
| MACD fast=12, slow=71, signal=24 |
15.5% | -76.6% | 0.62 | 0.20 | 45.2x | 237 | 51% |
| Buy and hold | 13.4% | -91.7% | 0.53 | 0.15 | 27.6x | 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