Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Faraday Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Faraday Technology Corp.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.0%, MDD -49.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.0%, drawdown -89.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -52.7%, Sharpe 0.51, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 11.0%, MDD -49.0%, exposure 40%).
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=33, slow=130 |
14.2% | -52.7% | 0.51 | 0.27 | 34.2x | 46 | 46% |
| Donchian 채널 돌파 entryN=106, exitN=59 |
11.0% | -49.0% | 0.50 | 0.22 | 16.1x | 34 | 40% |
| EMA 크로스오버 fast=42, slow=66 |
13.0% | -58.4% | 0.49 | 0.22 | 26.1x | 58 | 52% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=20, mult=2.1 |
11.3% | -50.7% | 0.45 | 0.22 | 17.3x | 94 | 41% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
3.6% | -31.9% | 0.40 | 0.11 | 2.5x | 28 | 7% |
| ADX / DI 방향성 period=38, threshold=18 |
7.0% | -57.8% | 0.40 | 0.12 | 6.0x | 60 | 27% |
| ROC 모멘텀 n=119, threshold=-0.07 |
9.2% | -75.7% | 0.40 | 0.12 | 10.3x | 199 | 63% |
| Supertrend period=18, mult=4.2 |
7.6% | -65.7% | 0.36 | 0.12 | 7.0x | 106 | 52% |
| Parabolic SAR step=0.005, maxStep=0.16 |
7.0% | -63.0% | 0.35 | 0.11 | 6.1x | 186 | 53% |
| MACD fast=19, slow=23, signal=15 |
0.5% | -78.8% | 0.18 | 0.01 | 1.1x | 333 | 51% |
| Buy and hold | 7.0% | -89.6% | 0.37 | 0.08 | 6.1x | 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 33-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 33-day average falls below the 130-day average