Trend-Following Backtester · Guide · backtest 한국어
equity · TW
AUO Corporation backtest
10 trend-following strategies were compared on the full daily history of AUO Corporation. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.5%, MDD -38.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.6%, drawdown -90.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -68.6%, Sharpe 0.49, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 6.5%, MDD -38.9%, exposure 8%).
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=7, slow=44 |
10.9% | -68.6% | 0.49 | 0.16 | 14.6x | 174 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=3 |
6.5% | -38.9% | 0.48 | 0.17 | 5.1x | 58 | 8% |
| 볼린저 밴드 돌파 n=21, k=2.6 |
7.9% | -40.5% | 0.47 | 0.20 | 7.2x | 118 | 18% |
| Donchian 채널 돌파 entryN=22, exitN=63 |
10.7% | -66.6% | 0.47 | 0.16 | 14.0x | 67 | 69% |
| Supertrend period=10, mult=4.3 |
9.9% | -71.5% | 0.46 | 0.14 | 11.5x | 99 | 47% |
| MACD fast=16, slow=66, signal=10 |
8.5% | -70.3% | 0.42 | 0.12 | 8.3x | 324 | 51% |
| ADX / DI 방향성 period=23, threshold=19 |
4.9% | -87.9% | 0.32 | 0.06 | 3.5x | 150 | 23% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.9% | -74.5% | 0.28 | 0.05 | 2.7x | 392 | 50% |
| ROC 모멘텀 n=25, threshold=-0.01 |
2.8% | -89.1% | 0.25 | 0.03 | 2.0x | 500 | 53% |
| EMA 크로스오버 fast=26, slow=139 |
2.2% | -78.8% | 0.22 | 0.03 | 1.7x | 61 | 48% |
| Buy and hold | -2.6% | -90.6% | 0.16 | -0.03 | 0.5x | 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 7-day average price crosses above the 44-day average
- Sell — Sell (to cash) when the 7-day average falls below the 44-day average