Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Global Unichip Corp. backtest
10 trend-following strategies were compared on the full daily history of Global Unichip Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.8%, drawdown -86.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.1%, MDD -73.5%, Sharpe 0.77, 76% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=12, exitN=47 |
27.1% | -73.5% | 0.77 | 0.37 | 115.5x | 75 | 76% |
| Supertrend period=15, mult=3 |
17.1% | -63.8% | 0.62 | 0.27 | 22.8x | 139 | 55% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=13, mult=3.7 |
4.2% | -21.8% | 0.58 | 0.19 | 2.3x | 8 | 1% |
| ROC 모멘텀 n=18, threshold=-0.07 |
15.9% | -66.6% | 0.57 | 0.24 | 18.7x | 361 | 77% |
| ADX / DI 방향성 period=11, threshold=38 |
9.6% | -59.0% | 0.56 | 0.16 | 6.2x | 82 | 14% |
| MACD fast=13, slow=22, signal=6 |
14.2% | -69.0% | 0.56 | 0.21 | 13.8x | 427 | 49% |
| 볼린저 밴드 돌파 n=18, k=1.9 |
11.2% | -61.6% | 0.52 | 0.18 | 8.2x | 203 | 31% |
| SMA 크로스오버 fast=78, slow=101 |
11.4% | -78.5% | 0.48 | 0.15 | 8.5x | 61 | 58% |
| EMA 크로스오버 fast=12, slow=27 |
10.0% | -69.7% | 0.45 | 0.14 | 6.6x | 171 | 55% |
| Parabolic SAR step=0.015, maxStep=0.24 |
7.1% | -81.8% | 0.38 | 0.09 | 3.9x | 323 | 53% |
| Buy and hold | 27.8% | -86.2% | 0.75 | 0.32 | 129.9x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 47 days