Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Ventec International Group Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ventec International Group Co., Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.1%, MDD -23.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 14.5%, drawdown -70.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.1%, MDD -25.3%, Sharpe 0.83, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 24.0%, MDD -46.7%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 15.1%, MDD -23.3%, exposure 15%).
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=44, k=3.5 |
16.1% | -25.3% | 0.83 | 0.64 | 3.6x | 12 | 13% |
| SMA 크로스오버 fast=43, slow=169 |
24.0% | -46.7% | 0.82 | 0.51 | 6.4x | 13 | 50% |
| ADX / DI 방향성 period=13, threshold=36 |
15.1% | -23.3% | 0.81 | 0.65 | 3.4x | 36 | 15% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=3.4 |
18.0% | -36.2% | 0.81 | 0.50 | 4.2x | 22 | 25% |
| ROC 모멘텀 n=147, threshold=0 |
21.9% | -43.3% | 0.77 | 0.51 | 5.5x | 43 | 53% |
| Donchian 채널 돌파 entryN=55, exitN=18 |
18.0% | -39.6% | 0.76 | 0.45 | 4.2x | 24 | 33% |
| EMA 크로스오버 fast=17, slow=72 |
18.6% | -51.6% | 0.71 | 0.36 | 4.3x | 27 | 46% |
| MACD fast=17, slow=29, signal=16 |
16.4% | -43.9% | 0.68 | 0.37 | 3.7x | 95 | 52% |
| Supertrend period=28, mult=3.8 |
14.2% | -40.5% | 0.61 | 0.35 | 3.1x | 39 | 45% |
| Parabolic SAR step=0.03, maxStep=0.12 |
11.1% | -58.8% | 0.51 | 0.19 | 2.5x | 181 | 47% |
| Buy and hold | 14.5% | -70.2% | 0.54 | 0.21 | 3.2x | 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 44-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 44-day middle average