Trend-Following Backtester · Guide · backtest 한국어
equity · TW
BizLink Holding Inc. backtest
10 trend-following strategies were compared on the full daily history of BizLink Holding Inc.. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 27.8%, MDD -46.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 26.8%, drawdown -66.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 27.8%, MDD -46.7%, Sharpe 0.94, 52% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 20.1%p (CAGR 27.8%, MDD -46.7%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.16 |
27.8% | -46.7% | 0.94 | 0.59 | 42.2x | 107 | 52% |
| SMA 크로스오버 fast=53, slow=218 |
27.5% | -48.5% | 0.84 | 0.57 | 40.7x | 15 | 67% |
| Supertrend period=22, mult=4.6 |
23.4% | -49.6% | 0.82 | 0.47 | 24.8x | 50 | 53% |
| EMA 크로스오버 fast=56, slow=126 |
26.4% | -48.5% | 0.81 | 0.54 | 35.9x | 17 | 66% |
| Donchian 채널 돌파 entryN=49, exitN=76 |
26.1% | -52.1% | 0.81 | 0.50 | 34.4x | 25 | 70% |
| 볼린저 밴드 돌파 n=51, k=1.7 |
20.2% | -61.1% | 0.78 | 0.33 | 16.6x | 68 | 39% |
| ROC 모멘텀 n=93, threshold=-0.04 |
23.8% | -55.2% | 0.76 | 0.43 | 26.2x | 123 | 69% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=3.2 |
18.0% | -53.5% | 0.75 | 0.34 | 12.5x | 44 | 30% |
| ADX / DI 방향성 period=46, threshold=11 |
19.3% | -51.8% | 0.72 | 0.37 | 14.8x | 71 | 45% |
| MACD fast=10, slow=47, signal=24 |
18.6% | -58.1% | 0.71 | 0.32 | 13.5x | 171 | 51% |
| Buy and hold | 26.8% | -66.8% | 0.76 | 0.40 | 37.6x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots