Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Sunonwealth Electric Machine Industry Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sunonwealth Electric Machine Industry Co., Ltd.. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -71.5%).
Sharpe leader (same as main): MACD — CAGR 10.7%, MDD -68.2%, Sharpe 0.49, 51% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=36, slow=72, signal=32 |
10.7% | -68.2% | 0.49 | 0.16 | 14.9x | 142 | 51% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=4 |
6.9% | -57.1% | 0.43 | 0.12 | 6.0x | 44 | 19% |
| EMA 크로스오버 fast=16, slow=24 |
8.5% | -66.6% | 0.42 | 0.13 | 8.7x | 182 | 50% |
| SMA 크로스오버 fast=11, slow=61 |
8.3% | -67.3% | 0.41 | 0.12 | 8.2x | 132 | 50% |
| Donchian 채널 돌파 entryN=48, exitN=23 |
7.2% | -70.4% | 0.39 | 0.10 | 6.3x | 86 | 37% |
| 볼린저 밴드 돌파 n=43, k=3.1 |
6.0% | -49.2% | 0.39 | 0.12 | 4.7x | 62 | 17% |
| Supertrend period=8, mult=3.6 |
7.5% | -74.9% | 0.39 | 0.10 | 6.8x | 132 | 56% |
| ADX / DI 방향성 period=29, threshold=24 |
5.5% | -56.1% | 0.37 | 0.10 | 4.1x | 64 | 16% |
| ROC 모멘텀 n=102, threshold=0.23 |
4.2% | -65.1% | 0.29 | 0.06 | 3.0x | 134 | 19% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.1% | -82.4% | 0.19 | 0.01 | 1.3x | 198 | 46% |
| Buy and hold | 10.0% | -71.5% | 0.44 | 0.14 | 12.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (36/72) crosses above its 32-day signal line
- Sell — Sell when the MACD line crosses back below the signal line