Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Marketech International Corp. backtest
10 trend-following strategies were compared on the full daily history of Marketech International Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.5%, MDD -48.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -81.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.6%, MDD -71.6%, Sharpe 0.52, 85% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 9.4%p (CAGR 10.5%, MDD -48.0%, exposure 54%).
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=11, exitN=76 |
12.6% | -71.6% | 0.52 | 0.18 | 13.8x | 59 | 85% |
| EMA 크로스오버 fast=22, slow=27 |
10.5% | -48.0% | 0.49 | 0.22 | 9.1x | 122 | 54% |
| MACD fast=17, slow=55, signal=19 |
9.7% | -58.6% | 0.47 | 0.17 | 7.8x | 208 | 52% |
| SMA 크로스오버 fast=50, slow=119 |
9.5% | -59.7% | 0.45 | 0.16 | 7.5x | 49 | 57% |
| Supertrend period=14, mult=5 |
8.7% | -57.3% | 0.43 | 0.15 | 6.4x | 72 | 58% |
| Parabolic SAR step=0.015, maxStep=0.16 |
8.1% | -71.5% | 0.43 | 0.11 | 5.6x | 326 | 52% |
| 볼린저 밴드 돌파 n=43, k=2.5 |
6.6% | -45.7% | 0.40 | 0.14 | 4.1x | 80 | 26% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=3.1 |
6.1% | -52.8% | 0.38 | 0.12 | 3.7x | 74 | 30% |
| ROC 모멘텀 n=7, threshold=-0.09 |
7.0% | -85.0% | 0.37 | 0.08 | 4.5x | 202 | 94% |
| ADX / DI 방향성 period=20, threshold=16 |
4.5% | -57.1% | 0.30 | 0.08 | 2.6x | 230 | 46% |
| Buy and hold | 12.7% | -81.0% | 0.51 | 0.16 | 14.2x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 76 days