Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Advantech Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Advantech Co., Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.7%, MDD -48.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.3%, drawdown -68.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -48.8%, Sharpe 0.58, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 11.7%, MDD -48.8%, exposure 62%).
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=53, slow=218 |
11.7% | -48.8% | 0.58 | 0.24 | 18.7x | 31 | 62% |
| EMA 크로스오버 fast=49, slow=247 |
10.5% | -49.9% | 0.53 | 0.21 | 14.1x | 23 | 63% |
| Donchian 채널 돌파 entryN=101, exitN=67 |
7.3% | -48.7% | 0.43 | 0.15 | 6.5x | 33 | 54% |
| ROC 모멘텀 n=128, threshold=-0.11 |
5.8% | -65.3% | 0.34 | 0.09 | 4.4x | 141 | 83% |
| Supertrend period=21, mult=4.9 |
4.0% | -59.3% | 0.28 | 0.07 | 2.8x | 77 | 55% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=12, mult=1.7 |
2.3% | -56.0% | 0.21 | 0.04 | 1.8x | 119 | 49% |
| ADX / DI 방향성 period=34, threshold=16 |
0.0% | -64.6% | 0.09 | 0.00 | 1.0x | 107 | 27% |
| 볼린저 밴드 돌파 n=37, k=1.7 |
-0.4% | -57.5% | 0.08 | -0.01 | 0.9x | 185 | 37% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.3% | -69.2% | 0.02 | -0.03 | 0.5x | 201 | 55% |
| MACD fast=17, slow=29, signal=12 |
-5.4% | -88.0% | -0.13 | -0.06 | 0.2x | 389 | 52% |
| Buy and hold | 10.3% | -68.5% | 0.46 | 0.15 | 13.4x | 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 53-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 53-day average falls below the 218-day average