Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Win Semiconductors Corp. backtest
10 trend-following strategies were compared on the full daily history of Win Semiconductors Corp.. 5 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 20.5%, MDD -26.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.4%, drawdown -83.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.5%, MDD -26.3%, Sharpe 0.90, 20% exposure.
CAGR reference leader: Supertrend — CAGR 21.9%, MDD -70.0%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 57.4%p (CAGR 20.5%, MDD -26.3%, exposure 20%).
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=29, k=2.9 |
20.5% | -26.3% | 0.90 | 0.78 | 15.6x | 32 | 20% |
| Supertrend period=11, mult=2.9 |
21.9% | -70.0% | 0.76 | 0.31 | 18.5x | 95 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3 |
18.8% | -33.8% | 0.75 | 0.55 | 12.5x | 38 | 29% |
| Donchian 채널 돌파 entryN=83, exitN=22 |
18.6% | -52.5% | 0.73 | 0.35 | 12.3x | 30 | 32% |
| ADX / DI 방향성 period=18, threshold=22 |
17.5% | -48.3% | 0.72 | 0.36 | 10.8x | 86 | 30% |
| SMA 크로스오버 fast=34, slow=134 |
19.7% | -74.5% | 0.69 | 0.26 | 14.0x | 28 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
15.7% | -60.7% | 0.61 | 0.26 | 8.5x | 109 | 51% |
| ROC 모멘텀 n=72, threshold=0.05 |
13.8% | -52.4% | 0.57 | 0.26 | 6.7x | 160 | 44% |
| EMA 크로스오버 fast=48, slow=72 |
14.3% | -72.0% | 0.56 | 0.20 | 7.1x | 34 | 53% |
| MACD fast=14, slow=63, signal=15 |
10.2% | -77.8% | 0.46 | 0.13 | 4.2x | 161 | 53% |
| Buy and hold | 18.4% | -83.7% | 0.60 | 0.22 | 11.9x | 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 29-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 29-day middle average