Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Semiconductor Manufacturing Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Semiconductor Manufacturing Co., Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.7%, MDD -28.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.3%, drawdown -68.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.7%, MDD -28.3%, Sharpe 0.66, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 39.6%p (CAGR 12.7%, MDD -28.3%, exposure 69%).
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=39, slow=130 |
12.7% | -28.3% | 0.66 | 0.45 | 23.8x | 41 | 69% |
| SMA 크로스오버 fast=31, slow=151 |
12.6% | -29.2% | 0.65 | 0.43 | 23.1x | 53 | 66% |
| Donchian 채널 돌파 entryN=84, exitN=80 |
11.5% | -38.0% | 0.63 | 0.30 | 18.1x | 33 | 63% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=20, mult=3.7 |
7.3% | -34.3% | 0.53 | 0.21 | 6.6x | 72 | 36% |
| ADX / DI 방향성 period=38, threshold=21 |
4.5% | -24.9% | 0.48 | 0.18 | 3.2x | 22 | 13% |
| Supertrend period=18, mult=4.7 |
7.6% | -57.3% | 0.45 | 0.13 | 6.9x | 102 | 58% |
| 볼린저 밴드 돌파 n=66, k=2.6 |
4.5% | -33.0% | 0.40 | 0.14 | 3.2x | 54 | 25% |
| ROC 모멘텀 n=148, threshold=0.02 |
5.8% | -61.9% | 0.37 | 0.09 | 4.4x | 227 | 64% |
| MACD fast=22, slow=71, signal=39 |
1.2% | -77.0% | 0.16 | 0.02 | 1.4x | 194 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.3% | -85.9% | 0.09 | -0.00 | 0.9x | 340 | 56% |
| Buy and hold | 14.3% | -68.0% | 0.59 | 0.21 | 34.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 130-day EMA
- Sell — Sell when the 39-day EMA falls below the 130-day EMA