Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Acter Group Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Acter Group Corporation Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.7%, MDD -40.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.7%, drawdown -64.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.7%, MDD -40.0%, Sharpe 0.72, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 16.7%, MDD -40.0%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=98, slow=336 |
16.7% | -40.0% | 0.72 | 0.42 | 11.3x | 9 | 55% |
| Parabolic SAR step=0.01, maxStep=0.12 |
13.0% | -55.7% | 0.63 | 0.23 | 6.9x | 162 | 49% |
| 볼린저 밴드 돌파 n=48, k=2.7 |
10.3% | -34.1% | 0.62 | 0.30 | 4.7x | 42 | 29% |
| MACD fast=14, slow=38, signal=17 |
11.0% | -49.6% | 0.57 | 0.22 | 5.1x | 176 | 50% |
| ROC 모멘텀 n=84, threshold=-0.04 |
12.6% | -59.8% | 0.56 | 0.21 | 6.5x | 89 | 68% |
| Supertrend period=29, mult=3.3 |
10.1% | -67.4% | 0.51 | 0.15 | 4.5x | 94 | 46% |
| Donchian 채널 돌파 entryN=43, exitN=21 |
9.0% | -65.7% | 0.49 | 0.14 | 3.9x | 54 | 42% |
| ADX / DI 방향성 period=30, threshold=18 |
8.2% | -49.1% | 0.48 | 0.17 | 3.4x | 78 | 35% |
| EMA 크로스오버 fast=49, slow=191 |
8.1% | -73.0% | 0.43 | 0.11 | 3.4x | 33 | 55% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=18, mult=1.8 |
7.5% | -74.2% | 0.42 | 0.10 | 3.1x | 72 | 48% |
| Buy and hold | 15.7% | -64.2% | 0.61 | 0.24 | 9.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 98-day average price crosses above the 336-day average
- Sell — Sell (to cash) when the 98-day average falls below the 336-day average