Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Nan Ya Plastics Corporation backtest
10 trend-following strategies were compared on the full daily history of Nan Ya Plastics Corporation. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.2%, MDD -39.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.3%, drawdown -71.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.6%, MDD -44.8%, Sharpe 0.67, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 10.2%, MDD -39.7%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=77, slow=194 |
13.6% | -44.8% | 0.67 | 0.30 | 30.0x | 19 | 54% |
| SMA 크로스오버 fast=14, slow=70 |
12.0% | -40.2% | 0.60 | 0.30 | 20.5x | 95 | 53% |
| Donchian 채널 돌파 entryN=96, exitN=42 |
10.2% | -39.7% | 0.56 | 0.26 | 13.4x | 43 | 41% |
| ADX / DI 방향성 period=39, threshold=19 |
8.6% | -43.3% | 0.55 | 0.20 | 9.0x | 57 | 17% |
| ROC 모멘텀 n=115, threshold=-0.04 |
10.4% | -45.3% | 0.53 | 0.23 | 13.8x | 171 | 62% |
| 볼린저 밴드 돌파 n=56, k=1.9 |
8.9% | -50.3% | 0.52 | 0.18 | 9.7x | 89 | 32% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=2 |
6.7% | -50.2% | 0.42 | 0.13 | 5.6x | 135 | 37% |
| Supertrend period=10, mult=3.6 |
6.9% | -58.0% | 0.40 | 0.12 | 6.0x | 143 | 52% |
| Parabolic SAR step=0.01, maxStep=0.3 |
4.5% | -55.1% | 0.31 | 0.08 | 3.2x | 333 | 51% |
| MACD fast=15, slow=29, signal=14 |
2.5% | -69.2% | 0.22 | 0.04 | 1.9x | 369 | 51% |
| Buy and hold | 8.3% | -71.7% | 0.41 | 0.12 | 8.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 77-day EMA crosses above the 194-day EMA
- Sell — Sell when the 77-day EMA falls below the 194-day EMA