Trend-Following Backtester · Guide · backtest 한국어
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Nan Ya Printed Circuit Board Corporation backtest
10 trend-following strategies were compared on the full daily history of Nan Ya Printed Circuit Board Corporation. 8 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 18.5%, MDD -42.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 16.7%, drawdown -93.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.5%, MDD -42.0%, Sharpe 0.89, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 27.9%, MDD -78.8%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 51.7%p (CAGR 18.5%, MDD -42.0%, exposure 14%).
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=46, k=3.5 |
18.5% | -42.0% | 0.89 | 0.44 | 43.5x | 26 | 14% |
| SMA 크로스오버 fast=49, slow=163 |
27.9% | -78.8% | 0.85 | 0.35 | 234.8x | 31 | 49% |
| EMA 크로스오버 fast=51, slow=192 |
26.8% | -69.9% | 0.85 | 0.38 | 195.1x | 21 | 41% |
| ROC 모멘텀 n=134, threshold=0.04 |
24.9% | -82.7% | 0.80 | 0.30 | 139.4x | 127 | 44% |
| Donchian 채널 돌파 entryN=113, exitN=86 |
23.7% | -83.9% | 0.79 | 0.28 | 111.7x | 23 | 42% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=14, mult=2.7 |
20.4% | -73.7% | 0.74 | 0.28 | 61.4x | 76 | 31% |
| Supertrend period=24, mult=4.2 |
21.8% | -72.5% | 0.74 | 0.30 | 80.1x | 94 | 47% |
| ADX / DI 방향성 period=28, threshold=12 |
17.2% | -79.2% | 0.63 | 0.22 | 33.6x | 222 | 46% |
| Parabolic SAR step=0.005, maxStep=0.2 |
16.5% | -77.3% | 0.62 | 0.21 | 29.9x | 168 | 49% |
| MACD fast=19, slow=23, signal=12 |
14.5% | -65.7% | 0.58 | 0.22 | 20.3x | 302 | 52% |
| Buy and hold | 16.7% | -93.6% | 0.57 | 0.18 | 30.7x | 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 46-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 46-day middle average