Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Alchip Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Alchip Technologies Ltd.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 41.8%, MDD -53.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 40.3%, drawdown -83.0%).
Sharpe leader (same as main): Supertrend — CAGR 51.2%, MDD -58.8%, Sharpe 1.16, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 41.8%, MDD -53.9%, exposure 47%).
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=12, mult=4.5 |
51.2% | -58.8% | 1.16 | 0.87 | 313.5x | 43 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.8 |
37.8% | -64.7% | 1.08 | 0.58 | 86.0x | 32 | 36% |
| 볼린저 밴드 돌파 n=56, k=1.4 |
41.8% | -53.9% | 1.07 | 0.78 | 128.5x | 58 | 47% |
| Donchian 채널 돌파 entryN=111, exitN=26 |
36.0% | -44.1% | 1.02 | 0.82 | 71.7x | 24 | 39% |
| ROC 모멘텀 n=41, threshold=0.06 |
38.6% | -62.3% | 1.01 | 0.62 | 93.6x | 184 | 49% |
| EMA 크로스오버 fast=10, slow=46 |
39.2% | -56.0% | 0.97 | 0.70 | 99.4x | 73 | 58% |
| SMA 크로스오버 fast=23, slow=58 |
39.0% | -67.6% | 0.97 | 0.58 | 96.9x | 48 | 58% |
| ADX / DI 방향성 period=17, threshold=17 |
35.3% | -64.9% | 0.95 | 0.54 | 66.8x | 146 | 51% |
| MACD fast=29, slow=44, signal=17 |
26.4% | -56.6% | 0.78 | 0.47 | 25.9x | 123 | 53% |
| Parabolic SAR step=0.015, maxStep=0.24 |
25.7% | -56.2% | 0.76 | 0.46 | 24.1x | 220 | 54% |
| Buy and hold | 40.3% | -83.0% | 0.88 | 0.49 | 110.6x | 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) — 12-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)