Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Delta Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Delta Electronics, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.3%, MDD -40.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.2%, drawdown -72.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.2%, MDD -48.8%, Sharpe 0.70, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 13.3%, MDD -40.0%, exposure 52%).
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=20, slow=157 |
16.2% | -48.8% | 0.70 | 0.33 | 54.6x | 45 | 59% |
| EMA 크로스오버 fast=30, slow=92 |
15.4% | -58.7% | 0.67 | 0.26 | 44.8x | 47 | 61% |
| Donchian 채널 돌파 entryN=113, exitN=60 |
13.3% | -40.0% | 0.63 | 0.33 | 27.4x | 32 | 52% |
| ROC 모멘텀 n=134, threshold=0.06 |
10.3% | -46.7% | 0.52 | 0.22 | 13.6x | 159 | 49% |
| ADX / DI 방향성 period=31, threshold=21 |
5.3% | -44.5% | 0.39 | 0.12 | 3.9x | 50 | 15% |
| Supertrend period=26, mult=4.5 |
6.4% | -77.3% | 0.38 | 0.08 | 5.3x | 98 | 55% |
| MACD fast=44, slow=52, signal=38 |
5.3% | -68.6% | 0.33 | 0.08 | 3.9x | 162 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=9, mult=3.3 |
3.7% | -54.8% | 0.28 | 0.07 | 2.6x | 84 | 26% |
| 볼린저 밴드 돌파 n=36, k=2.6 |
2.8% | -54.9% | 0.25 | 0.05 | 2.1x | 100 | 22% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.4% | -77.7% | 0.22 | 0.03 | 1.9x | 190 | 54% |
| Buy and hold | 13.2% | -72.8% | 0.53 | 0.18 | 27.2x | 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 20-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 20-day average falls below the 157-day average