Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Walsin Lihwa Corporation backtest
10 trend-following strategies were compared on the full daily history of Walsin Lihwa Corporation. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.6%, MDD -45.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.7%, drawdown -77.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.3%, MDD -52.7%, Sharpe 0.48, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 3.6%, MDD -45.4%, exposure 33%).
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=49, slow=125 |
10.3% | -52.7% | 0.48 | 0.20 | 13.6x | 35 | 51% |
| SMA 크로스오버 fast=40, slow=206 |
8.2% | -56.0% | 0.42 | 0.15 | 8.2x | 33 | 51% |
| Donchian 채널 돌파 entryN=72, exitN=74 |
6.6% | -52.2% | 0.37 | 0.13 | 5.5x | 38 | 51% |
| ROC 모멘텀 n=171, threshold=0.01 |
5.1% | -60.0% | 0.32 | 0.09 | 3.8x | 161 | 51% |
| ADX / DI 방향성 period=17, threshold=18 |
4.6% | -53.4% | 0.30 | 0.09 | 3.3x | 279 | 43% |
| 볼린저 밴드 돌파 n=62, k=1.2 |
4.4% | -48.0% | 0.30 | 0.09 | 3.2x | 119 | 40% |
| Parabolic SAR step=0.025, maxStep=0.06 |
4.4% | -66.1% | 0.30 | 0.07 | 3.2x | 361 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2.4 |
3.6% | -45.4% | 0.27 | 0.08 | 2.6x | 107 | 33% |
| Supertrend period=8, mult=3.3 |
3.0% | -61.6% | 0.25 | 0.05 | 2.2x | 173 | 51% |
| MACD fast=29, slow=79, signal=31 |
1.3% | -65.1% | 0.19 | 0.02 | 1.4x | 173 | 50% |
| Buy and hold | 3.7% | -77.6% | 0.29 | 0.05 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 125-day EMA
- Sell — Sell when the 49-day EMA falls below the 125-day EMA