Trend-Following Backtester · Guide · backtest 한국어
equity · TW
United Microelectronics Corp. backtest
10 trend-following strategies were compared on the full daily history of United Microelectronics Corp.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -35.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.8%, drawdown -86.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -52.2%, Sharpe 0.48, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 4.9%, MDD -35.4%, exposure 16%).
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=48, slow=94 |
9.5% | -52.2% | 0.48 | 0.18 | 11.2x | 71 | 50% |
| MACD fast=28, slow=73, signal=68 |
8.8% | -49.2% | 0.45 | 0.18 | 9.4x | 120 | 52% |
| Donchian 채널 돌파 entryN=117, exitN=55 |
7.4% | -53.3% | 0.42 | 0.14 | 6.6x | 39 | 39% |
| EMA 크로스오버 fast=18, slow=125 |
7.2% | -54.5% | 0.40 | 0.13 | 6.3x | 69 | 48% |
| ROC 모멘텀 n=102, threshold=0.02 |
6.2% | -59.1% | 0.36 | 0.10 | 4.9x | 229 | 46% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
4.9% | -35.4% | 0.36 | 0.14 | 3.6x | 40 | 16% |
| ADX / DI 방향성 period=22, threshold=25 |
4.4% | -44.9% | 0.35 | 0.10 | 3.2x | 74 | 14% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=2.5 |
3.9% | -59.6% | 0.29 | 0.07 | 2.8x | 122 | 31% |
| Supertrend period=8, mult=4.2 |
2.7% | -69.2% | 0.23 | 0.04 | 2.0x | 124 | 51% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-3.2% | -94.0% | -0.01 | -0.03 | 0.4x | 320 | 48% |
| Buy and hold | 3.8% | -86.9% | 0.29 | 0.04 | 2.7x | 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 48-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 48-day average falls below the 94-day average