Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Scientech Corporation backtest
10 trend-following strategies were compared on the full daily history of Scientech Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.7%, MDD -40.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.9%, drawdown -64.3%).
Sharpe leader (same as main): Supertrend — CAGR 23.7%, MDD -40.3%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 24.0%p (CAGR 23.7%, MDD -40.3%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=2.5 |
23.7% | -40.3% | 0.63 | 0.59 | 18.9x | 106 | 52% |
| MACD fast=21, slow=37, signal=13 |
15.0% | -43.1% | 0.61 | 0.35 | 6.9x | 148 | 49% |
| Parabolic SAR step=0.005, maxStep=0.34 |
21.9% | -40.1% | 0.60 | 0.55 | 15.4x | 94 | 53% |
| ROC 모멘텀 n=38, threshold=-0.04 |
20.7% | -69.7% | 0.57 | 0.30 | 13.5x | 178 | 66% |
| SMA 크로스오버 fast=43, slow=98 |
14.7% | -60.9% | 0.57 | 0.24 | 6.6x | 33 | 55% |
| Donchian 채널 돌파 entryN=72, exitN=24 |
20.1% | -60.5% | 0.57 | 0.33 | 12.6x | 32 | 38% |
| ADX / DI 방향성 period=39, threshold=21 |
10.1% | -33.0% | 0.50 | 0.31 | 3.8x | 22 | 23% |
| EMA 크로스오버 fast=25, slow=31 |
15.7% | -65.2% | 0.49 | 0.24 | 7.5x | 70 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=3.2 |
8.9% | -52.4% | 0.45 | 0.17 | 3.3x | 40 | 29% |
| 볼린저 밴드 돌파 n=18, k=1.7 |
8.6% | -52.2% | 0.44 | 0.16 | 3.1x | 154 | 34% |
| Buy and hold | 25.9% | -64.3% | 0.65 | 0.40 | 24.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)