Trend-Following Backtester · Guide · backtest 한국어
equity · TW
ASPEED Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of ASPEED Technology, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 46.0%, MDD -38.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 49.4%, drawdown -64.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 46.0%, MDD -38.0%, Sharpe 1.06, 85% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 26.0%p (CAGR 46.0%, MDD -38.0%, exposure 85%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=112, threshold=-0.12 |
46.0% | -38.0% | 1.06 | 1.21 | 209.2x | 35 | 85% |
| Donchian 채널 돌파 entryN=48, exitN=80 |
38.9% | -47.6% | 0.96 | 0.82 | 103.1x | 15 | 80% |
| EMA 크로스오버 fast=15, slow=148 |
38.1% | -39.7% | 0.96 | 0.96 | 94.9x | 25 | 79% |
| SMA 크로스오버 fast=41, slow=189 |
36.7% | -44.7% | 0.93 | 0.82 | 82.2x | 17 | 79% |
| Supertrend period=26, mult=5 |
22.1% | -53.4% | 0.70 | 0.41 | 16.8x | 42 | 66% |
| ADX / DI 방향성 period=21, threshold=34 |
10.0% | -25.3% | 0.66 | 0.40 | 3.8x | 24 | 11% |
| Parabolic SAR step=0.005, maxStep=0.14 |
15.2% | -56.2% | 0.57 | 0.27 | 7.4x | 106 | 59% |
| MACD fast=20, slow=51, signal=16 |
13.8% | -59.4% | 0.54 | 0.23 | 6.2x | 144 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=24, mult=3.2 |
9.3% | -51.9% | 0.47 | 0.18 | 3.5x | 52 | 28% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
6.9% | -52.2% | 0.44 | 0.13 | 2.6x | 24 | 15% |
| Buy and hold | 49.4% | -64.1% | 1.04 | 0.77 | 288.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 112-day return is greater than -12%
- Sell — Sell when the 112-day return drops to -12% or below