Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Formosa Chemicals & Fibre Corporation backtest
10 trend-following strategies were compared on the full daily history of Formosa Chemicals & Fibre Corporation. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.4%, MDD -37.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.3%, drawdown -82.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.2%, MDD -54.8%, Sharpe 0.56, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 9.4%, MDD -37.6%, exposure 46%).
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=78, slow=171 |
10.2% | -54.8% | 0.56 | 0.19 | 13.3x | 17 | 51% |
| SMA 크로스오버 fast=45, slow=130 |
9.4% | -37.6% | 0.54 | 0.25 | 11.1x | 47 | 46% |
| Donchian 채널 돌파 entryN=115, exitN=38 |
7.7% | -42.2% | 0.48 | 0.18 | 7.3x | 37 | 34% |
| ADX / DI 방향성 period=29, threshold=15 |
5.0% | -58.8% | 0.35 | 0.08 | 3.6x | 151 | 32% |
| ROC 모멘텀 n=144, threshold=0.06 |
4.7% | -57.4% | 0.33 | 0.08 | 3.4x | 185 | 41% |
| 볼린저 밴드 돌파 n=47, k=2 |
3.9% | -49.6% | 0.30 | 0.08 | 2.8x | 106 | 29% |
| Supertrend period=9, mult=4.7 |
3.8% | -77.4% | 0.28 | 0.05 | 2.7x | 89 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=3.1 |
2.7% | -61.1% | 0.24 | 0.04 | 2.1x | 76 | 27% |
| MACD fast=19, slow=59, signal=19 |
-5.5% | -91.7% | -0.15 | -0.06 | 0.2x | 284 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.6% | -82.3% | -0.15 | -0.07 | 0.2x | 210 | 51% |
| Buy and hold | 5.3% | -82.8% | 0.32 | 0.06 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 78-day EMA crosses above the 171-day EMA
- Sell — Sell when the 78-day EMA falls below the 171-day EMA