Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Asustek Computer Inc. backtest
10 trend-following strategies were compared on the full daily history of Asustek Computer Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.2%, MDD -47.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.2%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -47.7%, Sharpe 0.40, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 7.2%, MDD -47.7%, exposure 53%).
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=45, slow=51 |
7.2% | -47.7% | 0.40 | 0.15 | 6.3x | 185 | 53% |
| Donchian 채널 돌파 entryN=76, exitN=74 |
6.3% | -58.5% | 0.37 | 0.11 | 5.0x | 41 | 56% |
| EMA 크로스오버 fast=40, slow=78 |
4.4% | -62.9% | 0.30 | 0.07 | 3.2x | 65 | 55% |
| Supertrend period=14, mult=3.4 |
3.8% | -59.5% | 0.28 | 0.06 | 2.7x | 161 | 50% |
| 볼린저 밴드 돌파 n=54, k=1 |
3.0% | -54.7% | 0.24 | 0.05 | 2.2x | 170 | 44% |
| ADX / DI 방향성 period=36, threshold=27 |
1.4% | -17.1% | 0.20 | 0.08 | 1.4x | 10 | 3% |
| ROC 모멘텀 n=41, threshold=-0.03 |
1.8% | -74.8% | 0.20 | 0.02 | 1.6x | 404 | 63% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.7% | -62.2% | 0.15 | 0.01 | 1.2x | 307 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=1.3 |
0.3% | -63.8% | 0.13 | 0.01 | 1.1x | 211 | 44% |
| MACD fast=12, slow=92, signal=40 |
-0.6% | -78.3% | 0.10 | -0.01 | 0.9x | 220 | 52% |
| Buy and hold | 2.2% | -75.5% | 0.24 | 0.03 | 1.8x | 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 45-day average price crosses above the 51-day average
- Sell — Sell (to cash) when the 45-day average falls below the 51-day average