Trend-Following Backtester · Guide · backtest 한국어
equity · TW
LARGAN Precision Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of LARGAN Precision Co., Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 16.0%, MDD -48.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.2%, drawdown -76.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.5%, MDD -73.9%, Sharpe 0.72, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.2%, MDD -76.4%, exposure 78%.
Return/drawdown alternative: MACD — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 2.1%p (CAGR 16.0%, MDD -48.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=180 |
19.5% | -73.9% | 0.72 | 0.26 | 78.8x | 47 | 58% |
| Donchian 채널 돌파 entryN=11, exitN=49 |
21.2% | -76.4% | 0.71 | 0.28 | 110.1x | 93 | 78% |
| EMA 크로스오버 fast=15, slow=97 |
18.6% | -71.7% | 0.70 | 0.26 | 65.6x | 73 | 60% |
| ROC 모멘텀 n=163, threshold=0.12 |
15.9% | -62.0% | 0.66 | 0.26 | 37.4x | 155 | 46% |
| MACD fast=22, slow=51, signal=19 |
16.0% | -48.8% | 0.64 | 0.33 | 37.5x | 211 | 49% |
| Supertrend period=9, mult=5 |
15.2% | -66.3% | 0.61 | 0.23 | 31.8x | 75 | 59% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
11.0% | -51.3% | 0.54 | 0.21 | 12.8x | 93 | 35% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=3.6 |
7.5% | -42.6% | 0.49 | 0.17 | 5.8x | 63 | 14% |
| ADX / DI 방향성 period=37, threshold=28 |
5.0% | -21.3% | 0.49 | 0.24 | 3.3x | 10 | 5% |
| Parabolic SAR step=0.005, maxStep=0.36 |
9.7% | -63.7% | 0.46 | 0.15 | 9.6x | 193 | 54% |
| Buy and hold | 17.2% | -76.0% | 0.59 | 0.23 | 49.0x | 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 9-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 9-day average falls below the 180-day average