Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Kinsus Interconnect Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Kinsus Interconnect Technology Corp.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.0%, MDD -48.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.4%, drawdown -80.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.0%, MDD -48.7%, Sharpe 0.74, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 22.0%, MDD -48.7%, exposure 50%).
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=48, slow=177 |
22.0% | -48.7% | 0.74 | 0.45 | 77.1x | 31 | 50% |
| EMA 크로스오버 fast=48, slow=138 |
18.0% | -67.4% | 0.64 | 0.27 | 37.0x | 29 | 51% |
| Donchian 채널 돌파 entryN=47, exitN=64 |
17.2% | -77.3% | 0.62 | 0.22 | 32.0x | 37 | 58% |
| ROC 모멘텀 n=115, threshold=0.06 |
13.7% | -67.0% | 0.55 | 0.20 | 16.5x | 167 | 44% |
| ADX / DI 방향성 period=34, threshold=17 |
9.8% | -69.7% | 0.49 | 0.14 | 7.7x | 86 | 25% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
8.2% | -39.6% | 0.48 | 0.21 | 5.6x | 44 | 15% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=3.4 |
9.3% | -51.7% | 0.47 | 0.18 | 7.0x | 58 | 25% |
| Supertrend period=12, mult=3.9 |
9.9% | -78.0% | 0.45 | 0.13 | 7.8x | 99 | 52% |
| MACD fast=7, slow=47, signal=9 |
0.3% | -85.2% | 0.17 | 0.00 | 1.1x | 451 | 50% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-1.3% | -92.6% | 0.12 | -0.01 | 0.7x | 425 | 51% |
| Buy and hold | 14.4% | -80.6% | 0.53 | 0.18 | 18.9x | 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 48-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 48-day average falls below the 177-day average