Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Advanced Energy Solution Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Advanced Energy Solution Holding Co., Ltd.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.2%, MDD -13.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 13.2%, drawdown -76.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.1%, MDD -14.5%, Sharpe 1.07, 9% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 25.6%, MDD -36.1%, exposure 45%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 62.1%p (CAGR 17.2%, MDD -13.6%, exposure 8%).
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=26, k=3.2 |
22.1% | -14.5% | 1.07 | 1.52 | 2.9x | 4 | 9% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=9, mult=4 |
17.2% | -13.6% | 0.90 | 1.27 | 2.3x | 4 | 8% |
| ADX / DI 방향성 period=11, threshold=18 |
25.6% | -36.1% | 0.81 | 0.71 | 3.4x | 82 | 45% |
| Supertrend period=22, mult=3.5 |
25.1% | -53.6% | 0.78 | 0.47 | 3.3x | 24 | 49% |
| ROC 모멘텀 n=32, threshold=0.2 |
15.0% | -33.0% | 0.67 | 0.45 | 2.1x | 50 | 18% |
| SMA 크로스오버 fast=38, slow=46 |
16.7% | -66.9% | 0.60 | 0.25 | 2.3x | 32 | 48% |
| Donchian 채널 돌파 entryN=108, exitN=17 |
11.1% | -31.9% | 0.57 | 0.35 | 1.8x | 8 | 14% |
| EMA 크로스오버 fast=16, slow=27 |
13.8% | -58.2% | 0.53 | 0.24 | 2.0x | 38 | 48% |
| MACD fast=18, slow=56, signal=19 |
8.0% | -53.7% | 0.40 | 0.15 | 1.5x | 48 | 45% |
| Parabolic SAR step=0.035, maxStep=0.24 |
-2.6% | -66.9% | 0.12 | -0.04 | 0.9x | 150 | 48% |
| Buy and hold | 13.2% | -76.6% | 0.51 | 0.17 | 1.9x | 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 26-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 26-day middle average