Trend-Following Backtester · Guide · backtest 한국어
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Elite Semiconductor Microelectronics Technology Inc. backtest
10 trend-following strategies were compared on the full daily history of Elite Semiconductor Microelectronics Technology Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.4%, MDD -43.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -90.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.6%, MDD -54.2%, Sharpe 0.74, 36% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 9.4%, MDD -43.2%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=1.3 |
19.6% | -54.2% | 0.74 | 0.36 | 78.9x | 260 | 36% |
| Parabolic SAR step=0.01, maxStep=0.34 |
17.4% | -68.7% | 0.64 | 0.25 | 49.8x | 286 | 48% |
| Supertrend period=23, mult=2.6 |
14.8% | -59.3% | 0.59 | 0.25 | 29.3x | 198 | 45% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=20, mult=3.6 |
9.4% | -43.2% | 0.58 | 0.22 | 9.0x | 46 | 9% |
| MACD fast=15, slow=56, signal=13 |
13.8% | -65.0% | 0.55 | 0.21 | 23.4x | 276 | 52% |
| ADX / DI 방향성 period=21, threshold=17 |
12.7% | -66.4% | 0.54 | 0.19 | 18.3x | 206 | 35% |
| EMA 크로스오버 fast=6, slow=203 |
11.7% | -65.1% | 0.49 | 0.18 | 14.8x | 65 | 43% |
| SMA 크로스오버 fast=8, slow=223 |
11.6% | -64.7% | 0.49 | 0.18 | 14.7x | 53 | 46% |
| Donchian 채널 돌파 entryN=119, exitN=44 |
9.2% | -65.6% | 0.45 | 0.14 | 8.6x | 34 | 27% |
| ROC 모멘텀 n=104, threshold=0.09 |
9.3% | -70.1% | 0.44 | 0.13 | 8.8x | 206 | 33% |
| Buy and hold | 4.2% | -90.8% | 0.33 | 0.05 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 21-day middle average