Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Evergreen Marine Corp. (Taiwan) Ltd. backtest
10 trend-following strategies were compared on the full daily history of Evergreen Marine Corp. (Taiwan) Ltd.. 4 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 13.6%, MDD -51.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.2%, drawdown -83.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 13.6%, MDD -51.9%, Sharpe 0.58, 49% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 13.6%, MDD -51.9%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.1 |
13.6% | -51.9% | 0.58 | 0.26 | 29.8x | 297 | 49% |
| SMA 크로스오버 fast=49, slow=86 |
12.9% | -67.9% | 0.55 | 0.19 | 25.4x | 82 | 50% |
| 볼린저 밴드 돌파 n=15, k=1.5 |
10.0% | -71.0% | 0.50 | 0.14 | 12.5x | 384 | 35% |
| Supertrend period=10, mult=2.2 |
8.7% | -79.3% | 0.43 | 0.11 | 9.3x | 290 | 48% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=2.6 |
6.0% | -43.1% | 0.42 | 0.14 | 4.8x | 98 | 10% |
| MACD fast=14, slow=59, signal=13 |
7.7% | -59.2% | 0.40 | 0.13 | 7.1x | 329 | 50% |
| Donchian 채널 돌파 entryN=71, exitN=7 |
5.8% | -42.8% | 0.39 | 0.14 | 4.5x | 97 | 13% |
| EMA 크로스오버 fast=20, slow=199 |
7.3% | -73.0% | 0.38 | 0.10 | 6.5x | 53 | 52% |
| ADX / DI 방향성 period=33, threshold=23 |
4.3% | -73.7% | 0.31 | 0.06 | 3.1x | 44 | 11% |
| ROC 모멘텀 n=138, threshold=0.13 |
4.3% | -75.9% | 0.29 | 0.06 | 3.1x | 217 | 32% |
| Buy and hold | 8.2% | -83.3% | 0.40 | 0.10 | 8.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots