Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Asia Optical Co., Inc. backtest
10 trend-following strategies were compared on the full daily history of Asia Optical Co., Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.7%, MDD -25.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.3%, drawdown -90.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -25.9%, Sharpe 0.56, 3% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 7.2%, MDD -45.1%, exposure 27%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 64.4%p (CAGR 5.7%, MDD -25.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=109, exitN=1 |
5.7% | -25.9% | 0.56 | 0.22 | 3.8x | 74 | 3% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
7.2% | -45.1% | 0.41 | 0.16 | 5.3x | 76 | 27% |
| MACD fast=13, slow=23, signal=15 |
4.0% | -83.1% | 0.28 | 0.05 | 2.6x | 368 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=1.8 |
4.0% | -58.6% | 0.28 | 0.07 | 2.6x | 122 | 33% |
| ROC 모멘텀 n=119, threshold=-0.04 |
3.6% | -66.0% | 0.27 | 0.05 | 2.3x | 220 | 59% |
| Supertrend period=25, mult=2.7 |
2.5% | -70.7% | 0.23 | 0.04 | 1.8x | 192 | 46% |
| SMA 크로스오버 fast=13, slow=40 |
2.0% | -77.4% | 0.22 | 0.03 | 1.6x | 178 | 49% |
| ADX / DI 방향성 period=32, threshold=36 |
0.9% | -11.7% | 0.17 | 0.07 | 1.2x | 2 | 1% |
| EMA 크로스오버 fast=51, slow=118 |
-1.3% | -80.8% | 0.11 | -0.02 | 0.7x | 54 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.0% | -85.7% | 0.08 | -0.02 | 0.6x | 384 | 47% |
| Buy and hold | 2.3% | -90.3% | 0.27 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 109 days
- Sell — Sell when price breaks below the lowest low of the last 1 days