Trend-Following Backtester · Guide · backtest 한국어
equity · TW
General Interface Solution (GIS) Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of General Interface Solution (GIS) Holding Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.1%, MDD -24.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.4%, drawdown -90.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.1%, MDD -24.5%, Sharpe 0.77, 9% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 65.8%p (CAGR 13.1%, MDD -24.5%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=3.4 |
13.1% | -24.5% | 0.77 | 0.54 | 4.0x | 5 | 9% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=14, mult=3.7 |
10.2% | -38.6% | 0.57 | 0.26 | 3.0x | 15 | 14% |
| ADX / DI 방향성 period=33, threshold=26 |
6.2% | -30.5% | 0.53 | 0.20 | 2.0x | 8 | 6% |
| Donchian 채널 돌파 entryN=72, exitN=24 |
9.5% | -42.5% | 0.49 | 0.22 | 2.8x | 21 | 21% |
| ROC 모멘텀 n=36, threshold=0.14 |
9.2% | -54.3% | 0.49 | 0.17 | 2.7x | 107 | 17% |
| Supertrend period=8, mult=3 |
9.9% | -52.0% | 0.46 | 0.19 | 2.9x | 69 | 50% |
| EMA 크로스오버 fast=14, slow=30 |
7.0% | -59.8% | 0.38 | 0.12 | 2.1x | 69 | 44% |
| MACD fast=14, slow=47, signal=15 |
4.5% | -66.7% | 0.30 | 0.07 | 1.6x | 129 | 53% |
| SMA 크로스오버 fast=30, slow=38 |
4.2% | -76.1% | 0.29 | 0.06 | 1.6x | 89 | 48% |
| Parabolic SAR step=0.02, maxStep=0.2 |
3.4% | -82.9% | 0.27 | 0.04 | 1.5x | 203 | 49% |
| Buy and hold | -3.4% | -90.3% | 0.15 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 53-day middle average